1) Don't really have a favorite one. Although Lyn Knight and Stacks/Bowers are very accommodating when it comes to the buyer's wishes.
2) I've used most of them (Heritage, Stacks/Bowers, Lyn Knight, Spinks, TCNC, Moores). Its more of the matter of what material they present for auction than the specific house. I always factor in their bidders premium and shipping costs when I determine how much I am willing to pay for an item. So to me, if I win a specific lot I am either getting a 'deal' or paying a 'fair' price for it.
3) That's a tricky question b/c it depends on what you're looking for. By shear numbers, Heritage is by far the biggest as they run weekly coin and paper money auctions as well as auctions at shows etc.