I've only used Yahoo, but Like Linda, I mainly use it for driving traffic so I don't track conversions. I can tell you one thing, Yahoo's control panel could stand some simplifications if you ask me. I've heard from others that Google is much cleaner. I remember reading about someone who started using Yahoo PPC after being a long-time AdWords user and they were very disappointed in Yahoo's layout for managing campaigns. But I've gotten used to it.
Haven't looked into MSN but that will be my next stop.