There are a wide range and number of sugar substitutes out on the market. And while I’m usually a fan of using “real” ingredients in cooking, using a substitute can significantly cut down on the calories - and guilt - of sweets. There are, however, big differences between different sweeteners.
There are three major types of substitutes out there - Aspartame, Saccharin, and Sucralose.
Aspartame (Equal) is often used as a part of diet drinks and sugar-free gums. It’s often known for having a more “long-lasting” sweetness than regular sugar. It also breaks down under high heat, so usually isn’t very good to use in cooking. It dissolves fairly easily, but does add a serious off-taste. Plus there’s that whole cancer concern 
Saccharine (Sweet ‘N Low) is famous for it’s metallic aftertaste. If you’re not sensitive to that (and many people are not), then it can be used in high-heat baking without breaking down. It does not have the same, sharp crystalline structure of regular sugar, however, so it can often “spread out” and not provide much structure. The best solution to this is to either mix it half-and-half with real sugar or add extra flour (or egg white, or whatever your structural component of choice may be.)
Sucralose (Splenda) is the newest comer to the world of sweeteners. It uses sugar alcohols and tastes much like sugar, with a bit of a lighter aftertaste. Like Saccharin, it does not hold structure well, but that is easily solved by either mixing it half-and-half with regular sugar (which is sold as Splenda baking mix) or accepting very spread-out cookies. You’ll also want to refrigerate your baked goods, so the sugar taste doesn’t precipitate out.
In a nutshell, none of these sweeteners are perfect. Sucralose blended half-and-half is my preferred substitute, with fewer chemicals and less of an aftertaste than the others.
