I started off working with PMK Pyro. It is a very straightforward developer, and there is TONS of information out there on how to use it successfully. After using it a bit, and discovering its strengths and weaknesses, I switched to Pyrocat HD. I have since standardized on Pyrocat HD as my developer of choice. My reasons for this are:
- lower base stain, which means that my shadows come out better.
- more tolerant of rotary processing. I shoot almost exclusively sheet film, and I don't scratch my film when rotary processing, unlike in trays, where I always manage to scratch or ding it up somehow.
- less toxic. PMK has more health risks than Pyrocat HD. This is not to say that either are immediately DANGEROUS, nor is it to say that Pyrocat HD is as harmless as distilled water. I wouldn't drink either PMK or Pyrocat, but I'm not worried about the occasional splash or spill either.

You'll find that when you do develop pyro negatives, that they will probably look a bit thin by comparison to what you're used to with non-pyro developed negatives. Don't be fooled - the stain adds density that your paper can see, but your eye doesn't, or at least doesn't see the same way.