One thing I've found to be somewhat helpful is going with a broker which has local offices. Not that the basic service or telephone customer service is necessarily any better. But at least when things go wrong I can go down to the office and get in somebody's face about it. I find this gets a much quicker reaction than phone calls or letters -- particularly if there are other customers in the office when I "visit."
Off the top of my head, brokerages with local offices include Scottrade, TDWaterhouse, Fidelity, and Schwab. I know there are others as well, I just can't think of them.
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