The primary advantages of going with a third party news server are:
1. Longer retention. Binaries don't get purged as quickly as what is included with most ISPs.
2. Access to more groups. Many ISPs don't offer lots of groups.
3. Many ISPs limit users to how much data they can grab from newsgroups. In some instances simply getting the headers can come close to reaching these unreasonable limits.
4. Third party news servers don't limit bandwidth. When downloading from newsgroups I often max out my 8Mb/sec downstream bandwidth.
As for news readers, my favorite is NewsBin Pro. Unfortunately, it's Windows only. I can't wait until I can run it from within Parallels so I can get rid of my PC once and for good.
I've also tried Pan under X11. It's also very good but is a bit buggy and sometimes crashes on me when accessing large groups. It's also a resource and memory hog.
Unison is pretty good, but when I tried it on my old dual G4, it ran very slowly and also used lots of RAM. I'll give it another shot when my Mac Pro comes in.
I've never been a fan of Thoth...