Speaking just from MM1:
Bears are amazingly strong. The Dire Bear and Fire Giant are tied as the strongest mortal creatures for their size in the MM (the only stronger Large creatures are the balor, pit fiend, marut, and iron golem), and the bear is the strongest creature of any kind for its HD (in the MM, that is).
Dire Ape has reach and rend, which is fun. I'm never quite sure how things like Greater Magic Fang or Inspire Courage are supposed to apply to rend damage, but the visual is still cool. Also, it can climb, which is often useful.
Tiger and dire lion have those 5-attack pounces plus Improved Grab. So, these forms do great damage, but tend to involve a lot of dice-rolling.
Hawk has flight and fairly good touch AC. Eagle is faster but touch AC isn't as good.
The rhino's charge is pretty nice, especially if your DM rules that it is double the base gore damage (rather than doing a fixed amount unrelated to the gore damage).
When you get Huge forms, the giant constrictor snake and giant crocodile are great grappling forms. The treant and elephant have trample, good against hordes of low-level opponents.
For elementals, the earth and air elementals have great mobility.
Keep in mind that you *don't* get the Improved Natural Attack feats that the animals have, so you'll do less damage as a tiger or rhino than the actual animal does.
Playing a halfling druid, riding dog was a very good animal companion. I expect a horse would be very good for a human or elven druid. I'd stick with the low-level companions and let them get the level boosts; this results in companions with much better ACs than picking from the higher-level lists. Improved Toughness (from Complete Warrior) is pretty much an essential feat in my opinion.