One I would definitely not recommend is MB Trading. I had a lot of problems with trades not executing with these guys. What's worse they would not take any responsibility for their incompetence.
I echo Researcher as far as recommending Interactive Brokers. Their Trader Workstation takes a bit of getting used to (at least for me it did), but it is worth the learning curve.
Scottrade will surprise you sometimes with having stock available to short that the other brokerages do not have.
I have seen lots of $1 stocks with strong earnings and solid balance sheets triple, quadruple and more, but I have yet to see one go below zero.