The coast guard is actually the one I look at now and kick myself for no going to. They don't get the best geographic travel, (but on some cases still pretty good) but their budget is wicked sick. Great toys. Great training. They are on it!
I really wanted to go into the Coast Guard as my first option. This was before March 2003 and Iraq, and the only Coast Guard recruiter in all of Houston (where I'm from) was a 40 minute drive away and required an appointment! I really wanted to make sure I was around the water all the time, and the Coast Guard seemed like something different. They were the guys that were always hassling me and my best friend when we were jet-skiing and jumping the wakes of the oil tankers in the Houston Ship Channel. Those boats were so cool... dual 225 hp outboard motors and all. But it was all too easy for me to just drive around the corner and talk to the Navy and Air Force guys. The Air Force thing has worked out... I get to go to southern Italy and northwestern Australia (in the tropics, baby!) every six months, and might even get stationed in Australia here soon. I've gotten to swim in the Ionian Sea and the Indian Ocean; even swam with some manatees in Australia.
I've since heard mixed things about the Coast Guard. When I was in Mississippi, there were some Coast Guard guys there in training. They looked pretty silly, and apparently with them going into the Dept. of Homeland Security, the culture has changed somewhat. And I guess it's pretty stressful. I've also heard that it gets pretty dangerous quite often as well, when they're boarding drug ships and the boat owners have nothing to lose but a bunch of machine gun casings. I'd still consider it again, but I know the least amount about those guys amongst any branch.
Oddly enough, I was just on leave, and me and my sister were cruising around Houston. My parents recently moved, and guess who is right down the street from them? The Coast Guard recruiter, of course.