I don't use messenger much, but yahoo is by far the best in my opinion. Everything about AOL sucks, and well MSN is self explanatory.
Gaim doesn't work good for me, only AIM works on it. MSN is awesome, I have over 300 custom emoticons on it.
I like aim, but msn is a definite 2nd. AIM is terribly buggy, but all my friends prefer it, so I'm stuck with it =_=