Stay away from E*Trade and Zecco. E*Trade has since felt the financial collapse and is falling part. Zecco, which lures people with free trades, is a very shady operation with a high rate of customer dissatisfaction.
If you want the best service try Fidelity or TD Ameritrade. I'm in the process of transfering my account from sharebuilder to TD Ameritrade. Personally I think Sharebuilder is a great website but now that I'm trading more the $9.95 price is the same as Ameritrade's and TD Ameritrade has much better services and tools. To utilize those tools for sharebuilder they want extra. Sharebuilder still lets you put money in every Tuesday for the automatic investment plan which is a nice way to build up your money. By putting in money when I could I've managed to put roughly 30% of my income this year into the account. Granted I don't make much but considering what I've learned to live off, and I still party like a rock star when there's time, I've put a nice little chunk in there for first year FO pay. Definitly the way to go when starting from scratch.