I've used a bunch of them too, and never had a problem. Don't buy anything cheap - stick to name brands - L'Oreal, Feria, etc. My most recent favorite is Clairol Perfect 10 - I'm always on a quest for the perfect color, and that one is the best I've found so far (and it only has to process for 10 minutes instead of 25-45!).
If you're using a dark color, wipe off your forehead and around your hairline because dark colors will stain your skin. It's nothing tragic - comes off with a little Vaseline - but it often stains a bit for a day or so. (Happens to me when I'm not reallllllly careful coloring my eyebrows!)
Also, be sure to rinse your color til the water is clear, and then rinse it for a few minutes more. Otherwise, you'll get residue on your pillow case (washes off so no big deal, but gross). Just rinse and rinse, and then use the conditioner (most kits come with one). Try not to shampoo for 24 hours after you color - that will help your color last longer.