I've tried
www.usenet.com,
www.giganews.com, and my ISP's newsgroup service. They are all blazing fast, so speed really shouldn't be an issue with choosing a newsgroup provider... I was looking for some specific e-books, so my main concern was retention rates (how long the files stay on the newsgroup server before disappearing). As expected, my ISP's service was free and the retention rate was 2-3 days for most binary groups,
www.usenet.com retained data for about a month or so, and giganews had really long retention rates from two to three months. The giganews website even has a form that will tell you how long the retention rate is for each group.
After long and tedious research (read: typed "best newsgroup service" in google and clicked "feeling lucky") I came to the conclusion that giganews had the longest retention rates.
If you're not just going to take my word for it, you can go to
www.slyck.com and click the newsgroups guide in the left hand column of the webpage and then click on the link that says "News servers" in the links. It gives a comparison of a bunch of different news servers.
Personally, I like Grab-It the best for file grabbing off of newsgroups.
Also, setting up programs like Grab-it is pretty straightforward... if you sign up for a news server service then they'll probably give you guides on how to get set up somewhere on their FAQ page.
Jam it back in, in the dark.