Order I would spend my money if I had it.
Icon - amazing build quality and great customer service, they have a digressive valving to maintaine a good on road feel while still giving you the performance off road. Dom also gave you a good description of them in his post.
King - One of the most winning shock company's in off road racing for the last couple decades so they have the history and the good reputation there only down side is they get a little to close to coil bind. Also wont give you as much travel as the Icon's.
SAW - a good shock but they've tuned there shocks more for the dirt then for the street so it can be little stiff.
Radflo - new to the shock world but seem to be making a good name for them selves. I can't make to much of a judgment on them though since I haven't seen them in person or ridden in a rig with them. but I like what I have seen.
Fox - biggest issue I have with them is that there Fox, all the bro's / flattbillers sport fox and I don't want to be anywhere close to that seen. Taken a good look at them and wasn't to impressed with them, the reservoir hose is very small and that can cause valving to do weird things. I'm sure it a good shock though just not for me.
Walker Evans - Been very disappointed in them I've seen way to many break / fail. I do know they have changed there design a little because of there failures but still makes me nervous also has a small hose like the fox.
All of the above will be nicer then stock and I'm sure you would be happy with any of them. There is also some cheaper options out there like the new toytec coil overs that funjunkie has that you might want to look into.