I've only used one software, so I have nothing to compare, but people tell me Final draft is most convenient.
I use Page2Stage, because it's free. Overrall, I've found it easy to use, and to be frank, I don't know how many features one really needs in a screenwriting program, but maybe that's just cuz I'm a novice screenwriter.
Two glitches I've noticed -- sometimes, it just formats weirdly, at page-breaks. More annoyingly, though, typing simultaneous dialogue is a major formatting headache. Either that, or I'm dumb. Those headaches have been rare, though, and I've been satisfied enough with it to not justify spending any money.