I'll add my impressions as well.
The easiest and most convenient IMHO is a plain old remote that has the 4 colored buttons. On the down side, you can't use an IR remote and have LMCE control the volume of some TVs via USB UIRT. It appears the IR signals from both interfere or confuse the TV and the volume doesn't change. I'm not sure how common this problem with volume is, but it affects me and I know at least one other person has the same issue.
I also have a gyration go mouse. It's kinda cool, and surprisingly enough my wife really likes it. It works great for general navigation, picking videos to watch, etc. It also controls the volume just fine. To me it's a bit clunky for things like changing volume or fast forward/rewinding a video. With a regular remote you just push the appropriate button. With the GoMouse you press a button to pull up a block of icons, then hand gesture over to the item you want to control, then hand gesture left or right to control it. I guess it's all personal preference, but there are two big drawbacks. The mouse pointer disappears in Myth, so if you watch TV, watch recorded shows, or schedule things to record from within Myth then you need another remote. The second drawback is battery life. A plain old remote goes for months on a new set of batteries, probably once a week my GoMouse has been left off the charger for too long and it's dead. In the next version of LMCE Myth stuff is being changed to be more integrated in LMCE, so it may be possible to use the GoMouse for everything at that time.
The fiire remote or the gyration remote (not the go mouse) would probably be pretty good options. Not IR so no issues with volume. Buttons for quick access to volume/channel/fast forward/etc. and air mouse functionality for menu navigation. If I could get one cheap I would, but I just can't bring myself to pay $150 for a remote.
Mobile Orbiter on an iPaq, Nokia pad, etc. Easily the coolest remote. Not sure about battery life or if you have to go through some boot/load process before you see the remote each and every time you use it, or if it just goes into a sleep mode. I just found out there is a JavaMO (java mobile orbiter) and it SHOULD work with my phone if I get a blue tooth dongle, so I may try that out.