Re: If you had to choose which brand would you buy and why?
My personal preference is Premo, because it's soft enough for what I do, but generally not too soft. I used to use Sculpey III for sculptures, but I find that it's way too soft for anything with much detail. Sometimes it feels like it wants to melt in my hands. The same is true for Fimo Soft. Premo is just soft enough for me to work with and holds details very well.
I find Fimo Classic too hard to condition for my liking, but once you get it soft enough to work with, it's a good clay. It's a favorite for caning, and probably one of the best choices for jewelry.
You might also want to look into Kato polymer clay. I found it a bit stiff to work with at first, but once conditioned, it works well. Many polymer clays have a tendency to darken a bit after baking, but Kato clay is the most color-true.
Note: I think sometimes the age of the clay (and whether or not they've been exposed to a lot of heat) is a factor in how "good" it is. One time I opened up a package of Premo that was way too soft, and other times I've opened up packages that were dry and crumbly.
Like Noadi, I recommend trying out different ones and see what you like best.