Good liquidity and smooth trading is of critical importance to a day trader. Without it, trading is unreliable and profits can't be predicted. Note in this chart the S&P 500 Mar 08 contract. It is very smooth and is much easier to trade than the futures in my last post. I only trade futures where the charts look smooth and reliable. Trading others is financial suicide. This is the first thing I look for at the beginning of the trading day. It also allows me to keep a cool head and prevent emotional reactions to market noise.
While I personally don't like to trade the stock index futures, it is more important to me to get good liquidity with smooth trading than to always trade just one or two favorites. I will probably trade the S&P 500 today.
I don't like to trade the stock indexes because they often move so rapidly that I have a difficult time getting in and out of my trades fast enough. The grains move somewhat more gradually, so I can get better executions, both on entries and exits.