This is ultimately a very subjective question, and will depend on your OS, etc.
I prefer Eclipse (StatET) because I use it for all my development and it has many rich features (e.g. SVN integration, Sweave/Latex integration, project management). If you use Emacs, then ESS is great. This clearly depends on what you like.
I used Tinn-R before, but ultimately I prefer to have one IDE for everything, and Eclipse has a much wider general adoption.