Stockstrader points out an important issue: you want cheap trades, nice websites, quick phone responses, good rates on deposits and loans, access to multiple stock and other exchanges and so on, but above all else, you need reliability.
I chose my brokerages a few years ago based on the fact that they had a name to protect, were very big, and were known for catering to the middle class. It is hard for me to imagine that the govt would not step in to cover their customer obligations should the world fall apart. They have made occasional errors, but have always acted helpfully to fix the problems.
