I'm just getting started with lump, and have used one bag of Royal Oak with good results. Found a good deal on Frontier brand at BJ's (my local warehouse store) and it seems to be working pretty well. They currently have a 34-pound bag for about 20 bucks. Maybe I'll work up to the Wicked lump that they carry at my local Weber mecca, Village Hardware (that's in Alexandria, VA for all you DC/NoVA folks).
I know this is common knowledge, but it is remarkable how little ash lump leaves behind. I love my Kingsford Blue, but man, does that ever have a lot of filler in it! It is cheap, but I wonder what percentage of the total weight of KB I end up throwing away as ash.