Utorrent is easily the best as it makes best use of your internet connection and is light for resource use, wheras Azureus and others are Java dependant and heavy on system resources, meaning you can't do much else whilst they're running.
Most bittorrent clients are crap though even if configured to work with a router due to their peer-to-peer nature, so for heavy downloads (like games, movies etc.) I signed up to Megaupload (where files are stored on a server), so you always get use of your full bandwidth for maximum speed downloads. With my 20mb connection I get 2500kb/sec downloads without fail so can get about 8-9Gb an hour, or 2 full DVD's.
