Direct Connect blows for mp3s, (it's only good for apps) and the search function has never worked for me. Kaaza and it's lite counterpart both suck (only 128kb, not to mention the interface is terrible). WinMx definatly has the best options, interface and # of users with high quality music out of any of the programs. If napster were still alive it winmx would own it.
Right now I am at school were all I can use is Blubster because they have blocked everything else. Oh Well, it works for me. The downloads are very quick (sometimes I get 700kbps and every once in a while I will hit close to 1mbps (980kbps), and that's when I am not downloading off of the school network)). Only negative here is that the user base isn't as big as winmx's or kazaa's.
Bottom line: use Winmx if you can and have a fast connection, if you can't and you still want high quality mp3's then use blubster. I wouldn't suggest direct connect unless you want some warez that isn't any easier to get than from a website.