WinMX is the best of the "file-sharing" services.
KaZaa and Morpheus both contain hidden "spyware" that reports back on where you go and look at so that it can give you more targeted pop-ups. This eats bandwidth and the software also redirects payments you make on-line, making it seem that KaZaa or Morpheus is referring you to the website so they get a commission (instead of whatever site took you there.) Bad voodo.