See the video for my thoughts on the various brokers I use. See also my first impressions of Speedtrader and my review of SogoElite. [Edit 6/21/2011 — Subsequent to me posting this video Sogotrade has changed hands (Genesis Securities sold it to Wang) and the borrows for shorts are not good there anymore. I recommend against using Sogotrade.]
More posts on brokers:
How to borrow shares to short
An introduction to short selling at Interactive Brokers
Interactive Brokers brings the stock loan marketplace to the independent trader
HOD list: How to find stocks breaking out to new highs
My Interactive Brokers Traders Workstation configuration / workspace
How to scan for pre-market gainers using Interactive Brokers
Disclosure: Short 2,000 ANTS and 5,000 HAUP. No positions in any other stocks mentioned. This blog has a terms of use that is incorporated by reference into this post; you can find all my disclaimers and disclosures there as well.