In the US, following are some of the most popular ones:
a) E*TRade
b) Charles Schwab
c) TD Ameritrade
d) Scottrade
e) OptionsHouse
f) Sharebuilder
g) Fidelity
h) Merrill Edge
i) TradeKing
j) Just2Trade
You can check the image below for some high-level comparison (Taken from Scottrade website)
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