I'm just starting out in investing in stocks. I'm starting out with just a few shares.
"Least expensive" usually is a company that caters to the more experienced trader. The money you save will be insignificant to the mistakes you can make with no support.
I do not want to rain on your parade but unless you have $500,000 to invest over 5-7 years you should not buy individual issues. Use mutual funds instead. I like Vanguard's S&P 500 Index Fund #40.
Less than $500K will not let you diversify. You need at least 20 issues in different Industries to be diversified
What is your trading plan. Why do you think you will be successful. Most beginners get wiped out by making trading mistakes, like having no plan. They don't get wiped out by paying a couple of dollars more in commission, yet, that's what they worry about.
I use Scottrade. It has low commissions and great tools to help out in investing.