As part of the Time-Warner AOL merger, AOL agreed to open up its Instant Messaging servers and standards to interoperate with other IM software. Look for an update soon for MSN Messenger and Yahoo! Pager so that they talk nicely with ICQ/AOL IM.
Technical features of these programs seem to matter less than connectivity. It's just like someone creating a new e-mail or, heaven forbid, a new Internet standard. Lot of good it does if nobody can interoperate with it!
But, if you really want to look at the features themselves, I have some bias. ICQ, like Real Networks media player, installs piles of features and crap that you have to figure out how to turn off. MSN Messenger (latest versions, not the old stuff) is simple and sweet but doesn't have a couple features I would like. For example: being able to group your contacts in subfolders like friends, family, work.
Interoperability will be a moot point with the next release of everything so go for what you like.
(two more added points)
1. Yahoo pager is awefully nice because it can be rendered as java/dhtml or win-32.
2. MSN Messenger, unlike ICQ, works mainly off of e-mail addresses not some obscure ICQ ID number.