I've had great luck with Prosper.com over the last four years, with an annual return just shy of 30%. I fully acknowledge it's mostly luck, there's not much skill in picking loans to fund given the limited information they give you.
That said, Connecticut residents can not currently invest in any future loans. Supposedly they are working on it, but they have been saying that for months, and it's silly to just let the money sit there collecting dust. Should they resolve it, I will be thrilled to fund loans again.
Anybody using an alternative to Prosper for peer to peer lending they are happy with?