I have a love for small steam locomotives, and to be honest, very few run well, unless you work on getting better motors for them or improving pickup.
However, I've played with most of the brands of steam locomotives out there and I've come up with a small list of Quality based on manufacturer.
MANTUA(post tyco) Is excellent looking, and operating. Most come with a DCC plug in the back and really have excellent motors and run well, and smooth. Some of the detail is kind of clunky and their headlights are hideous.
Bachmann Spectrum- Good running, good electrical pickup, good value, and excellent sound thanks to Tsunami decoders! Yes!
I have scrapped every Rivarossi locomotive I have owned for parts, they were all older than 30 years, and they have a terrible motor, especially in the 0-8-0.
Old MDC (from kits w/brass wheels) Crap. Stay away at ALL COSTS.
New Pre-Athearn MDC (Comes assembled in red&yellow box) AWESOME! worth every penny. bright headlamps and good detail, Also DCC-able from what I've heard, although not sure.
NEW Roundhouse Wow. Excellent running, good-ish sound from MRC, pulls alot of cars, and are all painted in striking crispness, and some have prototype specific details.
Lifelike Proto 2000 heritage: All I can say is wow, got to see someone test drive one, wish I could get one myself, stunning locomotives.
BLI is certianly great, but pricey. Sound is good and realistic, solid runners, minimal problems, if there is a problem, it's usually a factory defect.
Any brass locomotive would be a show stopper with a new sagami can motor DDC'd with a Tsunami decoder, I've had someone do that to my only brass engine with stunning results.