FYI, for anyone interested in using a full-service broker, I regularly trade WTI-Brent through Lind-Waldock in Chicago.
As for which exchange to use, there's really only one option - volume/open interest for both Brent and WTI are extremely good on the ICE. NYMEX Brent is so thinly traded it's...
Some enormous orders go through the NYMEX every once in a while in the order of thousands of contracts, probably from oil companies or physical hedgers of one sort or another.
The volume and open interest on NYMEX crude is phenomenal, I don't think you'll have too many problems getting a fill.