Overall, Fidelity is the highest rated "Premium Discount" Broker according to SmartMoney Magazine for the fourth year in a row,
The Right Broker for You
You can certainly find cheaper brokers. If you want lower commissions, then you might explore some of the "Deep Discount" brokers.
I have accounts at both Fidelity and E*Trade. The service at Fidelity is much better. The commission prices at E*Trade are lower.
I really miss HarrisDirect. They were better than both Fidelity and E*Trade.