GE and SPY I think are the best in terms of selling calls and puts. (Good liquidity, good premiums and bid/ask spreads) What other underlying do you feel are good for options writing?
ES futures options give you SPAN margins. If you better the bid or offer you have top of the book position at that better price.
I like GE, but I've also been using AUY and UNG for the last couple of months. They both have decent volume (>10M) and the spreads on the front two months are not too bad. What are you doing: buy/sell write, spreads, or trading naked?