PhysX comes with a harmless licence, more features than all the others, the highest speed and at least an okay accuracy.
Newton is very accurate but not as fast as the others and does only support rigid bodies. I also don´t like its licence too much.
Bullet is nice too but due to nearly no documentation not that easy to use. It is not as fast as PhysX but still very fast and has some nice features. The accuracy is similar to PhysX but it is open source with a nice licence.
Havok is nearly as fast as PhysX and nearly as accurate as Newton. But the free version does only support rigid bodies and has a very strict licence and I dobt that many here would be willing to buy a licence of Havoc...

PhysX is definatly the best choice smile
(I btw also tried ODE and True Axis, but they are both not very great)

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