If you are playing Jihad or earlier, I'd go with Solaris Skunk Werks, it just has the most intuitive and cleanest interface of all of the various design programs. But as Daryk said, it was abandoned several years ago so it doesn't have support for the Dark Age era or Interstellar Operations (you can add custom equipment, but doing so is a nightmare).
MegaMekLab is the only current program. It is a work in progress, so it can be a bit buggy at times. But it is up to date. Also it allows the designing of everything except JumpShips, WarShips, Space Stations, and Mobile Structures. It's definitely a good program, I just never liked the interface (I'd put it halfway between the minimalism of SSW and the overbusiness of HMP).