Personally - I find myself buying the most from Comiclink.. and honestly it is probably for me the least (maybe connect is worse) liked site as far as functionality and ease of use. But I tend to get the best deals there. That being said
Heritage- Pros-fantastic site.. easy to use , easy to track, great reminder emails. Incredible selections. Ability to search previous sales easily. Cons- No Paypal, the buyers premium while calculated into your bid just looks terrible. Fluctuating shipping charges. Charge on top of all the other fees for using a credit card
Comiclink- Pros auction ends when done, good selection, good breakdown of auction tiers (GA,High Silver, LOw Silver, Modern,Art) and separate so if you do not collect modern for instance you can ignore that night. No buyers premium if you mail a check and very small fee if CC . Cons - No back scan, no tracking, no sniping as it is a multi tab bidding system,
Ebay- Pros- deals because of volume of mis-labeled stuff , good site, ease of tracking, promos and ebay bucks, Cons- the wild west.. I mean tons of terrible grading, no listing of faults, hidden resto,and tons of shill bidding.
Comicconnect- I hate there new website but I will leave it incomplete for now.
Mycomicshop- I like a lot - Pros great system , minimal buyers premium, great tracking, great grading, cheap and fast shipping. All types of payment accepted. Cons not as good of a selection, large lots with not great description, the lots are all mixed together so you may have to wait through lots of stuff you are not interested in to get to the piece you want. And although I do not mind the extended time for bids, unlike HA they do not wait for one item to end so you may wind up with multiple things you are bidding on ending at the same time.