I use MSN and Yahoo. I prefer yahoo. To me the interface is cleaner and it's quicker. I also like the fact that you can send someone an IM when they are not online and when they sign back on they receive the message. Also, another cool feature is that you can easily check recent messages. So if you accidentally clicked out of the IM window you can easily go back and see the last replies.
I've used them all at one time or another. My husband used to really like ICQ, but I've always pretty much stayed with yahoo. The offline messages are great because my sister and I live far apart and aren't online at the same time very often, so it's nice to be able to keep in touch that way.