Even Cramer says don't use market orders. If its small say 100 shares or 1 future contract, then a market order is probably not going to kill you, but if you are doing any kind of size, why do it. You basically can make a limit order a market order, by setting the limit to the same price as the market is currently trading. If you really think, the stock is going to shoot up and can handle a 1 cent to 5 cent problem, set the limit order above the market price. For example, lets assume GS is trading at $ 157.39, you want to get long since you think its going to explode upward in price, you could set the limit for 157.40, on an active stock or future, getting filled should not be a problem.
Oracle is exactly right. The market makers have to fill you if you post a limit say 5 cents above the offer, and they'll usually fill you at the actual offer. Fluffing market orders are the oldest scam in the book that are actually allowed by the exchange rules.
2 million in commissions?? And your fighting over 1000 dollars from a 3 lot trade. The math does not add up here. Trust me if you made them 2 million in commission they would comp you that 1000 bucks just to keep you happy.