I have but 2 bay rums so I really can't compare, but captains choice to me is fantastic! The cat o 9 tails is even better. Love the warmth of both. I really need to try some others....but since this was my first, I have a feeling that I will always come back to it.
The biggest thing I can say about Bay Rum is to think about what's in 'em and what you're looking for. Lots of folks like Pinaud (it does have a good fragrance) but it is not a true Bay Rum. It's synthetic. If you reach for Ogalala, Captains Choice, Royal, etc. you will be getting a more natural, truer Bay Rum. If that matters to ya.