Well, I prefer the SpyGlass and Majestic SEO. However, spyglass is still based on the Yahoo Links and this is a problem. In few days the Yahoo Site Explorer will be closed and after that I am not very sure how effective will be.
Open Site Explorer is updated once at month and the info is still outdated. In exchange, it offers advanced info (anchor text distribution, dofollow / nofollow reports), very useful if you want to see which elements are involved in the good results of competition.