Zagg is more popular because of their availability and advertising, but they are far from the best. As mention, Best Skins Ever is one of the cheapest options and its better than average (definitely better than Zagg). If you are going to do fully body, meaning screen as well then I would go with Phantom Skinz. It's going to be the closest in terms of smoothness for use on the screen. Still not as good as Power Support or SGP screen protectors, but probably one of the best when it comes to the wet application skins.
Wirelessly posted (Mozilla/5.0 (iPhone; CPU iPhone OS 5_0_1 like Mac OS X) AppleWebKit/534.46 (KHTML, like Gecko) Version/5.1 Mobile/9A405 Safari/7534.48.3)
I prefer either ghost armor or wrapsol.. Ive used invishield and cannot stand it.. Ghost armor is great and so is wrapsol.. I like wrapsol bc it seems to have less 'orange peel' to it and an be purchased at a local Walmart.
Keep in mind all the wet shields have some degree of orange peel texture. I recommend you use them for the body/back only and get an static cling shield for the screen. PS, SGP, Switcheasy are good ones.
I used a Zagg Invisibleshield for a while on my old iPhone 4, but I really didn't like the texture - it affected the clarity of the display somewhat and found that my fingertips didn't glide over the screen as nicely as with static cling shields.
I use SGP/Steinheil protectors on my 4S, which I am very happy with.