I've used a variety of different malaria medications, and my understanding of the most popular options is (warning, I'm not a doctor!):

1. Chloroquine. Cheap, easy, few side effects, but only works in a very few areas (in most regions the malaria is resistant).

2. Larium. This is relatively cheap, but can lead to extremely disturbing psychotic side effects (extremely bloody dreams, hallucinations, etc). These side effects are far more common than the CDC claims -- from my experience I'd say something like 25% of people experience them. Those with a history of depression are particularly at risk.

3. Doxycycline. Cheap and widely used. Side effects are photosensitivity (you will sunburn so fast with it).

4. Malarone. Very expensive, but probably the best for short trips. Very limited side effects, and you don't have to take it as long before/after as some of the other drugs.