I have seen the IM Light!

If you are using MSN Messenger (or, if you are the lamest person on earth, AOL IM)
STOP RIGHT NOW!!!
MSN Messenger is OK, but it really lacks in features. If you use AOL IM, you are just lame. You should hurt yourself for being that lame.
Yahoo messenger is better. I like the LaunchCast radio feature. It is great to not have to have a browser window open to listen to it. Also, their Avatars feature is absolutely awesome!
However, I personally like ICQ the best. It has fun and original single player and multiplayer games (as well as some non-original ones). Also, the ICQ Universe is really cool. You can trace a network of friends through the entire internet. Who knows, you might even go full circle. Also, with the next version, they are introducing single button voice chats.
And for those lame people using AOL IM: ICQ allows you to talk to AOL friends (not surprising, AOL owns ICQ).

Finally, if you can sacrifice the cool features but have friends on all the IM clients, there are two main options for you to use an all-in-one application.
First, there is Trillian. It's cool, but the free version isn't too good.
Second, there is Gaim. This one works on all major OSs because it is Open Source.

I hope these links serve you well, especially you AOL IM lame people!!!