Go with a Direct Access Broker, much better fills on prices, better charting packages and better pricing. Companies like Ameritrade, Scottrade and Etrade are nothing more than a middleman.
I'm partial to Thinkorswim. They have everything I need, plus they provide exc. customer service. One of the only brokers I know that charges the same comm. if its a internet order or if your away from a computer and you have to call in a order and speak to a live person.