I use
Interactive Brokers but I trade a tiny account. Pretty sure they are by far the cheapest unless you are doing large volume. I have traded stock, futures, and options there from one account, which is nice.
Here are some resources:
http://www.elitetrader.com/br/ - Check the forums too, I discovered Poker in there. [img]/images/graemlins/grin.gif[/img]
http://www.siliconinvestor.com/stock...ubjectid=52773 - May be a bit out of date.