Hi Elishar,
I try to trade both swing and short term. I am not a major trend trader, I try to find one to three week moves, like Markets often exhibit after periods of consolidation....easier said than done :). Most of my time is spent looking for swing trades which meet my developed over the years criteria. I usually will not get involved in short term or day trading unless I found a few swing trades which I am in, that's why I don't get a chance to day-trade most days.
I do trade ES on occasion, I do prefer the other three ( YM, NQ, and RTY ). Even though all of these are stock index futures of course, and on balance will go in the same direction, on real short term basis - often one of these will show us something before the others will, and it can add up to a "real" difference on the bottom line.
The rule of thumb is that Markets which least used in arbitrage, kind of purer ones, are easier to trade, especially for beginning traders than heavily arbitraged ones. My personal opinion is that this should not be the most important criteria when one selects Market(s) to trade, but with all else being equal - it does make a difference.
In swing or long term trading, Market selection is not very important, just like Jane said - over time all Markets will behave similarly, and most of them will respect Fibonacci ratios with sometimes mind blowing accuracy. But in short term or day trading - Market selection is incredibly important on individual basis. There is a lot to be said about how Market rhythm, sort of heart beat, swing size and time - match or mismatch our individual internal rhythms'
Best,
Simon