Brands of hay don't really mean much. The quality of the hay has much more to do with the growing/harvesting conditions where the farmer is than with which company buys and distributes the hay. The best thing to do is a little research about where the various online companies are located and where they get their hay, and what the growing conditions have been like. That way, you can come closer to ordering from an area that's had good hay for that year, rather than, say, a state that's been in drought for months.
The exception to the above rule is hay packaged in small bags and sold in pet stores. That stuff is almost always pretty crappy, as it sits in a warehouse and dries totally out before it makes it onto the shelves. So besides being many times more expensive than online or local farmer stuff, it's usually far poorer quality.
That being said, I've never gotten hay that I've been disappointed with from either American Pet Diner or Small Pet Select.