I use MSN, Yahoo, Aim and MyspaceIM. They all have their issues, but MSN is perhaps the cleanest, since it doesn't want to install any spyware or toolbars.
Yahoo has an issue, ever since version 8, that makes a computer VERY slow to resume after hibernation. The solution; log out before hibernation.
AOL just likes to install a ton of garbage. I use an add-in called Adhack. It removes all the crud. The tradeoff; it installs an older but still usable AIM client.
MyspaceIM, it's still fairly new and has its' issues. Chief among them is the spam controls, or lack there-of.
There's also the oldskool IRC programs, like mIRC. I use it from to time, where I moderate a California channel.
It's all personal preference. Also, MSN and Yahoo are pretty much able to use each others' networks.
And on the subject of multi-network, there is a client called Trillian that allows you to use one program for all networks, even IRC.