There are four main Firmwares: Original Gamepark Firmware, European Gamepark Firmware, Pacrom, and Multifirmware.
Original Gamepark Firmware - Tried and tested, this has a MP3-Player built in, but you need Free Launcher to launch FXEs.
European Gamepark Firmware - No built-in MP3 player, and no need for Free Launcher anymore. The people that made the MP3 Player for the original Gamepark Firmware have released a MP3 Player program you can use with the European Gamepark Firmware (and all other firmwares).
Pacrom - A very miminalist firmware oriented towards developers and power users. You can scan all directories and all files, not limited to just .FXEs in gp:\gpmm. You can also set up Pacrom to automatically boot a FXE, a big draw to its allure.
Multifirmware: There are many different Multifirmwares, but they are basically the same: They allow you to boot more then one type of firmware. spiv's multifirmware has the original Gamepark Firmware + Pacrom + some development debug tools on it. There's also a European Gamepark Firmware version too. Aquafish's multifirmware has the European Gamepark Firmware + Pacrom + Wind-ups or YAFL (File Managers) and allows you to directly boot up FXEs or other Firmwares (BIN files). Aquafish's multifirmware also allows you to directly boot FXEs.
Really it all comes down to personal preference
Personally, I am using Aquafish's Multifirmware v5.0.