If you've not heard of SlickIM, well, then, you can thank me later. This freeware application from LonelyCatGames allows you to connect to a number of different instant messaging protocols, including MSN/Windows Live, AIM, Yahoo!, Gtalk, and Jabber-based. I use it for MSN, Gtalk, and Nokia Chat and it works awesome, and can use either cellular data or WiFi.
The last few updates brought support for themes, so that the application will match whatever theme you happen to be using on your phone. You can, of course, still select one of the default LonelyCatGames color schemes, though I've always found them a bit ugly, myself.
When you first install SlickIM, you're presented with a screen listing out the various IM protocols. Simply click on each one you wish to use, and enter your details. It's really just that easy. You can view your buddy list in any number of ways, such as grouped by protocol, or alphabetized. You can also opt to hide offline contacts, if you want.
When you have multiple chat windows open, they're presented as a tabbed interface, allowing you to easily see all of the conversations that you have open, and switching between them is a breeze. Smilies are supported, as you might expect, and there's even a handy notification that shows up on whatever screen you're in. With this, even if you're browsing the internet, if someone IM's you, a little box appears in the top corner of your display, so that you can easily swap back to SlickIM to carry on the conversation.
You can download the latest version of SlickIM here. What's even better is that, if a new version is released, the application can automatically check for you, and then download and install the updated version! It's fantastic!