Newark is probably the least bad, but you still have to take a slow second train (AirTrain) after getting to Newark Penn. Also, while the NJ Transit trains are better set up for travelers than the LIRR to JFK they aren’t nearly as nice as the dedicated setup they have in London.
Although Heathrow Express is quite pricey compared to the tube and, depending upon where you're going, may not even be more convenient. More often than not, I'm near Trafalgar Square so I just take the Piccadilly Line in. But, yes, Heathrow has good transit options in general (although it's an expensive cab ride).
