From what I have seen there is not very much difference with the choice of wax. I did a full wash, clay, polish, glaze and wax with Autoglym (polish and wax) then Meguiars (Deep crystal polish and yellow wax) and they both looked great. The biggest difference I have noticed was when I tried the FK 452 (Finish Kare 452) quick detailer. That has added some nice gloss to the surface and also made it super slick.
I will be experimenting with sealants next go around but for right now the FK 452 is keeping me happy.