I have been reading Money Magazine's piece called Cheapest Online Broker. At the moment I have an account with Commsec, which charges $19.95 per trade of up to $10,000. But I can do better.
The cheapest online broker is Netwealth, charging $17.99 per trade. However, you can't trade more than $5,000, so in terms of how much transaction costs you pay per unit dollar invested, the best value broker is from Amscot, which charges $19.80 for trades of up to $22,500. For the best efficiency you must invest $22,499 at a time. Of course, saving up that amount may incur cost in the form of opportunity cost of having your money in cash rather than equity. This opportunity cost depends on your earnings rate. If you receive $22,500 every second you work, then this would be fine since one second of that $22,500 in cash instead of equity is not going to cost as much as if you had that same amount out for a few years, which is what would happen if you had a low-paying job. All this assumes that the stocks you buy will go up in value by more than what cash investments would produce.
If you are a buy-and-hold investor, which is what I am, then many people who criticize ETFs criticize the brokerage fees, which they say eat away at investors' profits. However, if you are a buy-and-hold investor and hold the ETF for, say, 40 years or forever (say you bequeath the ETF to charity or children after death) then the brokerage costs amortized over this time period is negligible.
Update: There might be some hidden charges with Amscot: "Clients will be charged $11 inc GST per month for use of amscotOnline Standard. This includes both software costs and ASX royalties. This charge will be rebated in full should you execute a minimum of 3 trades per month."
Three trades per month at $22,500 each trade (for maximum value) means I have to make $67,500 worth of trades per month!
Maybe I'll be sticking with Commsec.