I use Interactive Brokers for day trading, but I do a lot of scalp/scale trading. If you are looking to short pennies without a large amount of $ (under 30k) Sure Trader is probably your best bet. If you have over 50k and mostly want to short pennies I hear Centerpoint is best for hard to borrows. I also have retirement account with Fidelity& Etrade which are great brokers but not good for shorts. I use TD Ameritrade and Etrade for tools.

Are you paper trading yet? You should be if not, now! If you are paper trade, TD is good, also IB has paper trading but you have to fund with 10k to use it...

I've only had one since I started...optionsxpress. I wouldn't recommend them for pennies though. Etrade is probably better, Think or Swim (TD Ameritrade), Scottrade, are all popular brokerages for pennies. Don't use Suretrader for pennies though...I've heard the commissions are awful. It's good for Nasdaq though, since they have no PDT rule. Good luck!