Well, you said program, so i'm taking that as being different from service . Adium X is where it's at on Mac OS X. Does a bunch of services. However, the service I use most is AIM. The official clients on OS X aren't that great, though... plus they aren't as customizable as Adium ^^
I use all AIM and MSN but I use AIM the most. It helps me multi task because the sound is so sharp and aggrivating it helps me pay attention and look up and it flashes as well.. MSN's sound is to subtle and yahoo is cute, but just not my thing.
I use all three... AIM/iChat, MSN, and Yahoo... but lately I've been using Yahoo more. ^^ Dunno why. o.O; Ah well. So I pick Yahoo for now. Although three years ago I would've said AIM, and two years ago I would've said MSN. XD