I used ICQ quite a bit in its glory times. I remember that people eventually shifted to MSN, but I don't quite remember why. (Perhaps it was bundled with Windows?)
Most people in my circle moved to AIM with some on MSN and one or two weirdos on Yahoo. The ability to have a fun username maybe contributed. Did ICQ let you set an away status with melodramatic lyrics? I remember that being an important feature in the others.