I always, and deliberately, just say Orthodox because it inevitably causes follow up questions, which means that I get to do one of my favourite things - discuss religion. Most of the time, the questions will be mistaking Orthodoxy with Judaism (simply because everyone's already familiar with Orthodox Jews) but when someone is a little more familiar, they'll ask something like 'Oh, is that like Greek Orthodox?', which gives me an opportunity to dispell some of the misconceptions regarding ethnicity and Orthodoxy. When someone is really familiar with Orthodoxy (which is unusual unless they're Orthodox themselves) they'll inevitably ask me which church I'm in, which then gives me a chance to talk about the distinctives of the Romanian church. I did used to say that I was a Romanian Orthodox Christian, but now it's just Orthodox because the more vague answer generates more interesting conversations. The only exception would be if I'm asked at hospital or the like, when they aren't interested in conversations - then I'm Romanian Orthodox or whichever other local church happens to appear on their computer system (strangely that's usually both Russian and Greek, treated as though they are two different faiths, even though they aren't).
James