Royal Oak is the brand they sell at Wal-Mart (as well as some other places), the last time I was buying -- which was a while ago -- it had the reputation of being pretty good. It's possible that things have changed.
Cowboy, on the other hand, did not have a great rep, even though it's the brand most sold by "gourmet' outfits like Whole Paycheck ... er Whole Foods. For one thing it was made of floor and furniture ends, and they had a rep of a lot of trash and refractory material coming out of their kilns. I understand there's a "new and improved" Cowboy which is much cleaner and burns longer. The good thing about Cowboy was that it always burned very sweet. But... it also had a lot of small pieces and burned very fast.
The thing of it is, I went a few years without using either -- just Lazzari and CalChar.
I have no criticisms to make of Lazzari, nor have I heard anything, but it's not always easy to get. Prices are not great, just okay at BevMo -- but at least they usually have it. It's like $24 for a 40# bag, and may be what I end up using.
My old smoker was gas fired for heat and chunk for smoke, so I didn't use any charcoal in it at all. My old grill was charcoal fired though. I used either Lazzari or the regular restaurant mesquite lump from CalChar ($12/40#) -- a commercial supplier not too far from here.
CalChar's charcoal is fine, not too many little chips, burns evenly, not too many sparks, so on; but it comes with some mighty big pieces which make it hard to load my new smoker for an even burn. And while my new grill is more than large enough, I'm mostly using fireplace sized logs for that so the big piece pile keeps growing.
Anyway, that's kind of how it stands now.