Adium and Pidgin, the popular multi-network IM clients popular on OS X and Linux, lacks support for many features of MSN Messenger, such as webcams, audio conversations, voice clips and winks. This can prove to be annoying if the other party of the conversation wants to conference but lacks software such as Skype.
aMSN is an open-source intant messaging client available for Linux, OS X, FreeBSD and Windows (if you dislike the proprietary client) which supports many features specifically on the MSN network which Adium and Pidgin do not.
The client can handle most features which WLM can, excluding MSN Zone Games. aMSN is much more customisable than Windows Live Messenger too, with dozens of plugins and skins being available.
aMSN lacks the ability to connect to networks besides MSN but if you are in Adium and Pidgin and a situation arises when you may want to use a webcam, aMSN does not take long to load and it is much quicker than booting into Windows.
Update 19th October: aMSN does not yet support audio conversations

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