Yeah, I'm using the binary heap system, as it is extremely fast, and very easy to implement.
There's some good info on it out there, a good tutorial is mentioned in the article.
I pretty much ported Patrick Lester's code from Blitz to AGK.
I made some small improvements ( i.e. fixed the size of most arrays, put the parent nodes and the walkability of tiles into a type instead of using seperate arrays, restructured some bits of code, made the code more readable, sped up some cost calculations etc. )
The binary heap part was perfect, so I didn't tweak anything there.