I have accounts all over, Merrill Lynch, Fidelity, Raymond James, E-Trade, Ameritarde, ScottTrade, and Schwab...and all of them have thier pluses and minuses...
It all depends on what type of investing you plan on doing. If you are simply just putting money into a brokerage account, any will work, however ScottTrade or AmeriTrade are the cheapest...but that also depnds n how much money you are putting into the account. They also offer very comprehensive and user-friendly sites.
However, if you are planning on going with a retirement type of account and investing primarily in mutual funds, Fideltiy or Schwab would be the best option.
And finally if you are trading options, or commodities, I would go with Merrill. Anyhow, good luck, and happy investing!