I have AIM, MSN, Yahoo, and ICQ...although I use AIM for 99% of my conversations. The other 1% are MSN. I have a Yahoo and ICQ just in case somebody else has those and wants to talk on them, rather than AIM. I don't like how both ends of the conversation have to be on the same format....it isn't very public how instant messaging works. I understand the limitations behind it, but it's just unfortunate.
Since AOL bought ICQ's parent company, the networks have been interchangeable. A rather fortunate acquisition to consumers. On ICQ I can instant message you on AIM and vice-versa.