This question really does require some additional information. What type of loan are you looking for?
Usually the answer is "The bank that needs the business the most".
Although they might need it because they're trying to rip people off and most people can see through their scams so they walk away.
Look carefully at the interest rate they charge. Laws require lenders to show you the APR (This is the Annual Percentage Rate Charged per year.)
Make sure to look closely at the APR, this will tell you the truth about your costs.
Check out http://FHA24.com, there are plenty of useful articles about choosing a great company.