The truth is, you can trust them all, but every index will always report different numbers.
For example, it's estimated that Google's index was 2x the size of Yahoo's.
The web is full of links. Billions and billions of them. The problem is that 80% of them are junk. Most indexes maintained by companies like Google, Bing, Yahoo, and even SEOmoz and Majestic can't afford to waste the resources crawling, processing and storing all of those junk links. So the question doesn't become what you keep, what's more important is what you throw away.
Yahoo tended to report a lot of links. It was kind of fun because they reported many links right away, even if they weren't important and didn't help you to rank.
Linkscape (the name of SEOmoz's index) tries very hard to produce a quality listing of links - links that actually have an effect on crawling, indexing and ranking. The huge advantage of Linkscape over Yahoo is that OSE will actually tell you the value of a link through metrics like Domain Authority, Page Authority and MozTrust. You couldn't get these metrics from Yahoo.
Our friends at Majestic wrote a post that we featured on the SEOmoz blog highlighting this difficulty.
http://www.seomoz.org/blog/why-counting-links-is-not-so-easy
No index will report every link, but OSE will represent the majority of links that matter, and provide actionable metrics to go along with them.