Eventually I'll stop stealing topics from Ask The Headhunter, but until then... what do you do when you have an offer at one company, but are midway through the application process at others?
You can avoid this problem entirely by scheduling your interviews in order of preference, but that's not always possible, especially if you're unemployed or your current job situation is untenable.
Headhunter thinks that it's perfectly ethical to accept the offer, but continue interviewing, and either rescind your acceptance or quit early in the job, and that this is fact the best option. I categorically disagree. First, it is unethical. If you give your word, you should follow through. Period. Second, it will eventually bite you in the ass. Even if you didn't want that particular right now, you may wish to work for that company, or that person, or that person's friend, somewhere down the line, and you don't want to burn that bridge. Most companies won't take offense if you turn them down for a better offer, especially if you phrase it correctly, but they're not going to take you back after you've cheated them.
Then there are the consequences to other people. Once you accept the job, the company will tell their other applicants the bad news. Best case scenario their second choice is still available, but you've cost them several weeks. Or the person has accepted another job. Either they follow your lead and the chain continues, or they do the ethical thing and stick with their second choice job, in which case you have demonstrably worsened their life.
Headhunter says "In reality, there's little difference between quitting on day one or after several years" but that just isn't true. Turnover is inevitable and accepted. Jerking them around is not, for the reasons I've listed above.
So what should you do? First, evaluate the offer on its own merits. Is it acceptable? Is it worth negotiating? If you'd rather stay unemployed (a decision that rests in part on your estimation of your future prospects), turn them down outright. If they're good but not great, talk to your other potential employers and let them know what's going on. In the software industry, most companies can move very fast in situations like these. In fact, most of them ask if you're currently weighing other offers, and have a system set up to fast track you if you are.
Full disclosure: I've only faced this problem once, and most of the offers were from different units within the same company