OTOT.
For Datek ($10 per trade) and CyberTrader ($15 per trade), I trade in 500-2000 share blocks. For really speculative issues that have very little volume that Zeev sometimes brings to our attention, such as CCRD, I use InteractiveBrokers, which gives you $0.01 per share, $1 per trade minimum. IB is also very good for options trading ($1 per contract, no ticket charge). I use multiple brokers as a habit from the days when online brokers were frequently overwhelmed by user load; I had Etrade and Ameritrade going down on me on the same day! Luckily I also had Datek and Cyber. I took a cursory look into Merill Lynch annual fee-based account, but the literature seemed to indicate that they do not cater to day traders, and I was not comfortable with keeping more than $100k with any particular broker, even if the chance of ML going under is rather low.
I have no relation to any of those brokerages besides being a customer.