There are only few comparisons. When you ask that, a large majority might respond by saying Google. Google is synonymous with a larger base of hits, but what most people might not know is what contributes to thier speed (which displays all those hits) is that they own their own fiber-optics network (e.g. like that in Verizon FiOS). Not to get into detail about fiber-optic specs, but to put it better, try playing an online game while data shoots through your computer at the speed of light. Now think of that while searching online through Google.
As for Yahoo, don't get me wrong. I've been Yahoo-ing since the mid-to-late 90's. Yahoo is great for business users when opting for DSL (eventhough Verizon shoots their data through FO also). Yahoo has a plethora of chats which makes it easier to meet the norms, as well as the crazies. Y! also has Launch Radio (I love my Prodigy, I need that "hit" of Prodigy). Y! also gives up to the minute news in every different aspect: Technology, Entertainment, Sports... If you ever noticed how when you hover you mouse over the Mail button (3rd column to the right under the Search header) that part of the section expands. Y! is using a programming language called AJAX which enables them to give you your info w/o having to refresh the page. How's that for features? Google has that too, but Yahoo makes good use of it.
Someone mentioned, earlier about MSN. Money is not the root of all evil Microsoft is. Microsoft is Hell and Bill Gates is the devil weaved into a human body.
What would I use personally? Google is good when you want massive hits, but feature-wise I would go with the services which lie within Yahoo (like I said I need my Prodigy). As for MSN, I would not let my three-legged dog piss on it.
I hope this helps somewhat. I didn't mean to make it too lengthy, but I like talking technology (and other things too).