Years of reading magazines and having internet/web access has made me jaded to the point that i hardly touch mags anymore. When i do, it's usuall Play. Excellent layout, great writing, yadda yadda. Their mags isn't quite as packed as EGM with gaming bits, but the content that's there is worth checking out and the humor isn't stale.
It really depends on what you're looking for. Tips and Tricks is specializes in it's namesake, so there's not much comparison there. i think EGM is the best of the multiplatform mags; GMR (i still don't know what "GMR" stands for) fall a bit behind mainly because of less content, which they like to fill up with special features (aka the "More" section). Of course, if you're into buying used games from EB it's pretty much a no-brainer (same goes for Game Informer at Gamestop).
Can't comment on Nintendo Power or others as i haven't touched one in months, though i just might the next time they offer a good deal. Free discs are good.