According to Zetetic's December 2005 data, Sedo had the highest average sale price of the major online exchanges, where the average sale was for about $2,558, followed by Afternic at $1,072 and GoDaddy was at $692.  The anecdotal evidence also seems to say that though GoDaddy is getting good volume, it doesn't seem appropriate marketplace for premium-type domains.

This Domains Magazine article about Selling Domains: Domain Aftermarkets is a nice summary of the fees and procedures at the two other major exchanges, Afternic & Sedo.  In our case, the difference in fees weren't particularly significant, since we were hoping to sell the domain for quite a bit more than $100.

Domain Rookie, who despite his name appears to have a relatively substantial portfolio, has the following post listing where he is selling his names.