My preference is http://www.fleaflicker.com
It is not flashy but is a solid service and have never had problems. The rules, roster and scoring customization is miles ahead of Yahoo! and ESPN if you like to mix things up.
It also gives the commish a lot more control over tie-breakers and other issues that may arise.
If you're looking for a quick setup, average joe type of league, Yahoo! and ESPN are fine. If you want access to more commish controls and customization, I recommend fleaflicker.