I use etrade, but any discount broker will do.
Wondering which ETF to buy might be the wrong way to approach it. Personally, I think its better to come up with a top-down asset allocation strategy and then look for the best vehicle for each component of that strategy. In some cases it may be an ETF, in other a mutual fund. In my case I use ETFs for buying segments of the US market (e.g. Large cap value, small cap market, etc.), for foreign broad-based indices, and for some specialty items such as gold.
In general, I have found that if Vanguard has an ETF in the asset class it is the least expensive option available. They were late to the game though and still have limited options. Because of that I tend to have a lot of iShares as well.
The two best performing ETFs I've had as of late are GLD (which is a proxy for investing in gold) and FXI, which is a proxy for the Chinese market. I'm not sure if I'd recommend buying them today, though, unless it was slowly building a position.