OEC's sim fills are pretty good IMO. I posted a few examples on TL awhile back when someone asked there and in my brief testing I was getting partial fills, fills only if price traded through, etc. http://www.openecry.com
Thanks for the answers all, I'll compare all the brokers and see who fills me the least. I'm playing around with a strategy I use to trade chop in stocks like BAC, GE, etc. the ES moves very similarly (never mind its 95% correlation) in regards to back-filling a lot... the strategy I'm trading loses money if ES moves in sequence, and makes money if it chops around. If I can pick a 3-8 handle range in which it will chop for a long time it makes a lot. If it moves 10 handles in sequence without significant backfill it loses 1-2 days profit.
Cool, ES should give you those opportunites pretty frequently. Those days where we just chop around a 5 handle range for hours are the days I usually say screw it and head to the gym lol.