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Typically the difference between online brokerages is in the fees. Some charge higher commissions while others require minimum balances to avoid maintenance fees. Also, some online brokerages have very limited penny stocks available to the average investor.
The way to pick is to determine what sort of investor you're going to be and how much money you intend to have in the account.
more info on trading online:
http://www.ehow.com/how_5289063_buy-sell-stocks-online.html
If you're going to buy/sell with frequency look for low commission fees. If you aren't sure you are going to maintain the minimum balance look for a brokerage that doesn't require one.
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