My rundown:
AIM-
The official client isn't so good, but there are good third party clients that get rid of the ads and are customisable.
<b>Good points:</b> fast protocol, file transfers, group chatting, Rendezvous (on the Mac clients), ability to turn off smileys, ability to reformat incoming messages with your own font/colour choice, ability to set aliases of your buddies (so bob546753 becomes "Bob Smith").
<b>Bad points:</b> Tends to be 'ban happy' if you have a flakey connection. Bans you for 10 minutes at a time if you log in too often. Can't be invisible - so can't chat to one friend without letting everyone know you're online.
Yahoo-
Haven't used it before.
MS Messenger-
<b>Bad points:</b> made by Microsoft. assumes IE is the web browser you want to use, even if it's not your default, crashes, bloated, buddies can change their names at will making it annoying to keep track of people, needs crappy Passport thing, CPU heavy on the Mac, lives in system tray on Windows. Can't be easily uninstalled in Windows.
<b>Good points</b> none.
ICQ-
<b>Good points:</b> old school. Used this way back when computers were steam powered. Fast messaging, little bloat. Ability to be invisible. used to run off a zip disk or floppy so I could use it at uni on the lab computers.
<b>Bad points:</b> client has become a little bloated since AOL bought it out.
I like AIM, since the Oscar protocol is pretty flexible so there are a lot of good third party clinets out there if you don't want to use the official one.
It's even better on the Mac since Apple released iChat in collaboration with AOL as the new official Mac client - it integrates with your address book and your mail reader so you know when friends are online, and keeps all their details consistent across applications. However, I like Adium - it does all that but allows for things like transparent windows and floating buddy lists and things.