In the past I would have said Etrade, or Scotttrade. That’s how I started 10 years ago. But with the recent subrpime mess I would go with Schwab. Etrade is probably going bust anyway.
Schwab can also help you about picking stocks, options, funds or bonds. If you do well Schwab is a good brokerage to be with.
Once you reach $1M go with Merrill Lynch or BearStearn….