I have never been able to use Moneygram - It's never open when I want to use it so I have made some friends at Western Union and they treat me just fine if I want to send person-person. They will not transfer money to a bank account though.
So, I opened an account with the Bank of Commerce and Development (only because they have a branch that is open late in Funduk Kabir). That proved pointless because you can only withdrawl money there buy writing a cheque to yourself... Again, pointless. However, I do use it to transfer money back to my bank account and it does get there. They charge me 40 or 50 LYD per transaction (under $10,000) and allow you to send the equivilent of your salary. They do require you to fill out some paperwork in Arabic though... I've had it done once for me and just photocopy it... Now that I've worked out the kinks, it's working well for me.
I've heard a lot of people talk about Aman bank - not sure if I should have gone with them. I could always switch... Any Aman bankers out there?