In nearly every case, with all the Android phones I've owned, modding them with a custom ROM has made them better. What you mode with will depend on what you want. Lots of ROMs have one version or another of Sense. One of the really good ones is RevolutionHD, which I used for some time. Fast, responsive, great battery life, no chuff.
However, after I while I realized that I want to go back to the minimalist approach, so I returned to Cyanogenmod, without Sense (Sense is pretty, but a major resource hog, IMHO). You could go with the "pure" CM9 nightlies which are rock stable. Or you could look at OpenSensation, which is built on CM9 but has a few tweaks not yet merged into the nightly builds yet. Also rock solid and stable.
Make sure, whichever way you go, to follow the modding instructions for the ROM, since they vary from one dev/builder to another. The Development topic has all the different ROM threads and all the guidance you need.