I use Interactive Brokers (www.interactivebrokers.com), although I may be changing to Tradestation in the near future.  Interactive Brokers is a fantastic broker and they give you access to just about any financial instrument you want for minimal commissions.  They are also big - they were trying to buy Refco as well.  NYMEX futures, for instance, can be traded for $2.95/contract one way ($5.90 roundtrip).

Just thought it might be helpful - I'm a customer of IB, but have no other affliation.  Feel free to ignore!

If you are so happy with IB why are you thinking of changing to Tradestation? Better software, service, etc.? Thanks