I have MSN, ICQ, Yahoo Messenger and AIM, and I think MSN is the best. ICQ's quite complicated and it's too easy for strange people (not perverts, just people you don't know) to find you and add you to their contact lists. Nearly every time I log on to ICQ, I get about three messages from people asking me if I want to talk to them. With MSN, only people you give your contact email to can add you.
AIM and Yahoo are just as easy to use as MSN, but they don't have the advantage of alerting you when there's a new message. With MSN, the minimised bit on the explorer bar flashes, and goes 'ping' or something if you want it to.
However, if you do often use more than one instant message service, I recommend checking out
www.trillian.cc . It's a freeware program which puts all of your contacts from all your messengers into one easy-to-use interface. Even though I hardly ever use it as I nearly always only use MSN, it's damn great.