As best I can tell they all contract out to Labcorp or Quest for the actual labwork, so I figure the quality of the testing should be equivalent. I've been happy with Walk-in Lab, Life Extension, DirectLabs, and DiscountedLabs.
I've gotten a lot of value out of self-testing bloodwork, so I made a hobby site listing the different online sources for a given test.
I have a tight budget and am biased towards improving thyroid function, so I find cheap tests like TSH, chemistry + CBC, a lipid panel, prolactin (as a proxy for serotonin, estrogen, and thyroid), and hs-CRP (for inflammation) useful. I think doctors are pretty friendly towards ordering the first 3.