Kazaa LITE (dont ever use the original) is the number one for music files and small video clips, like Simpsons episodes etc.
eMule is very very good if you want full multi-CD videos/games, in other words big downloads. Its power lies in the "if i am downloading from you, you get extra bandwith" system. This is very beneficial, if you keep your downloaded files in shared directories. Theres also vast amounts of other stuff, security options not being the least, nor the very clever and innovative download agent (which sucks big time in kazaa).