Everyone has their own preference, so here's mine after using all 3.
Scanmaster is awesome for daily driving and basic tuning. I am glad I have it and wouldn't do without it. I have it up by my A-pillar next to my boost gauge so I can see what's going on whenever I lay into it on the street.
Turbolink w/boost sensing was the first scantool I ever had and it worked great. I loved the boost sensing option, easily portable and the recording feature for the track. Downside is that it is limited to the speed of the ALDL for data. IMO there wasn't enough info for me once my car got into the 11's.
Directscan transmits data @ 18 frames/second and gives you a mind-numbing amount of data to look at. Downsides are, not easily portable, no boost sensing, and the hookup at the ECM is sometimes prone to gremlins that leave you scratching your head. Other than that it is a great scantool, especially when you want as much info as possible at the track.