If I had unlimited money and didn't care about getting my coins sent back ungraded and my money robbed, then I would go with NGC or PCGS. I like ICG coins and think overall they are almost as nice looking as the two previously mentioned.
I think ANACS is great because they are wonderful for authenticating and reasonably inexpensive, but they won't grade a coin with PVC even if you can't see it, and they keep your money.
I have used PCI before. They are okay I guess, but I don't usually agree with the grade so I always buy the coin and not the slab when it is in a PCI holder. Same holds true with SEGS. If I like the coin inside the slab I buy it. I have seen misgraded coins in a PCGS holder in the past. Why pay a bloated price when they can't always grade a coin the same after it has been submitted over and over again.
I really prefer to buy raw coins, but it is hard to to it online because I have trouble determining what the surfaces are like in a flat photo unless the pics are zoomed in.