All of the shows are wonderful in their own way--hard to tell which you might like more than the next.
Epcot and the Magic Kingdom both have traditional fireworks displays set to music. These shows are currently being presented each and every night.
Others may disagree, but I don't think there is a particularly poor location to watch either of these shows. At MK, anywhere on Main Street will give you a good view. At Epcot, the closer you can get to the edge of the World Showcase lagoon, the better.
MGM Studios has a nightly show called Fantasmic which combines many elements including a live stage presentation, pyrotechnics video elements, etc. Fantasmic is held in a theater which seats 8000-10000 (don't remember the exact figure). Most nights, you need to arrive 90 minutes before the performance to get prime seats, and 45-60 minutes ahead to get ANY seat.
Unless you're only visiting for a couple of days, try to experience each show at least once during your trip. I doubt you will be disappointed.