For speed , the NNTP server run by ones respective ISP should generally be the fastest.
Obvious problems the are: loss of anonymity, the fact that they might not carry your favorite groups.
For clients, depends a lot on what you do.
For actually reading and participating in conversations, command-line clients tend to be the best once you get the hang of them. Tin is easier to learn, while nn is more powerful once mastered.
If a GUI is preferred, both ThunderBird and Opera work nicely.
If using newsgroups mostly for binaries: while the above work, when downloading several gigs of stuff a day, both Xnews and XanaNews have served me well.