Depends what you're trading.
I have no complaints about Interactive Brokers so far. They are a direct acess broker and offer US Stocks, Worldwide stocks, futures, forex and all that too.
For US stocks and options only, I sometimes use Fidelity, which pretty good. I've never used it but I've heard a lot of positives on TD Ameritrade, and if you're doing penny stocks they'd be good because it's $8/trade regardless of quantity.