id:3:initdefault:

        x:3:once:/opt/kde/bin/kdm

How do I choose MyFavouriteWindowManager(tm)?

I. From runlevel 3 (using startx):

You have to edit either your personal startup script (usually $HOME/.xinitrc) 
or the system default (etc/X11/xinit/xinitrc or /usr/X11/lib/X11/xinit/xinitrc).
Hollis R Blanchard has written a script that allows to choose the wm by typing
"startx fvwm", "startx wmaker" ... or whatever you like, provided it is
installed. It is available at:
http://www.andrew.cmu.edu/user/hollis/.xinitrc  

II. From runlevel 5 (the xdm/kdm login screen)

A.) xdm has quite a couple of files it looks for configuration info in. The first of
these is /etc/X11/xdm/Xsession (might also be $HOME/.Xsession, if existent).
Have a look into this one to see what files else are called:
/etc/X11/xdm/Xsession -> $HOME/.xsession, then if this doesn't exist, in turn
                      -> $HOME/.Xclients
                      -> /etc/X11/xdm/Xclients
                      -> /etc/X11/xinit/Xclients
To keep things simple, it is recommendable to edit the first one of these to
include 'exec mfwm' whatever. Alternatively, if you are using kdm, you can
configure /etc/X11/xdm/Xsession globally to allow each user to choose her
session type at login time:
Change the switch at approx. line 30 from

case $# in
1)
        case $1 in
        failsafe)
                exec rxvt -rv -fn 7x14 -geometry 80x44+60-0  #could be xterm
                ;;
        esac ;;
esac

to

case $# in
1)
        case $1 in
        failsafe)
                exec rxvt -rv -fn 7x14 -geometry 80x44+60-0  #could be xterm
                ;;
        *)
                sessiontype=$1
                ;;
        esac ;;
esac

and the conditional at the end of the file from 

if [ -x "$startup" ]; then
        exec "$startup"
elif [ -x "$HOME/.Xclients" ]; then
...

to 

if [ -n "$(type -path $sessiontype)" ]; then
        exec "$sessiontype"
elif [ -x "$startup" ]; then
        exec "$startup"
elif [ -x "$HOME/.Xclients" ]; then
...

Then you can add any WM or desktop you like to kdm's menu using kdmconfig (in
kde) or by editing /opt/kde/share/config/kdmrc. This should contain a line like:

SessionTypes=wmaker;afterstep;kde;fvwm;enlightenment;blackbox;failsafe;

B.) A setup similar to the above is described in great detail (with example files
and everything) in Wendell Duncan's "PPC Window Manager Setup":

        http://intermountain.com/~duncan/ppc/X11_help.html

C.) According to the manpage you can get xdm to pass an argument to Xsession by
defining keyboard translations in /etc/X11/xdm/Xresources like this:
        xlogin*login.translations: #override\
       <Key>F1: set-session-argument(failsafe) finish-field()\n\
       <Key>Return: set-session-argument() finish-field()
So you could set it up to e.g.

        xlogin*login.translations: #override\
       <Key>F1: set-session-argument(failsafe) finish-field()\n\
       <Key>F2: set-session-argument(wmaker) finish-field()\n\
       <Key>F3: set-session-argument(afterstep) finish-field()\n\
       <Key>F4: set-session-argument(startkde) finish-field()\n\
       <Key>F5: set-session-argument(fvwm) finish-field()\n\
       <Key>F6: set-session-argument(enlightenment) finish-field()\n\
       <Key>F7: set-session-argument(blackbox) finish-field()\n\
      <Key>Return: set-session-argument() finish-field()

and choose your WM with the function keys.

The description by Wendal Duncan (<A HREF="http://www.intermountain.com/~duncan/ppc/X11_help.html">http://www.intermointain.com/~duncan/ppc/X11_help.html</A>) is very good, certainly very helpful for newbies, but there is a mistake on one of the pages which can cause some major trouble.

The page <A HREF="http://www.intermountain.com/~duncan/ppc/node5.html">node5.html</A>, "The Heart of the matter - Xsession" shows an example Xsession file. If you follow this example file to the letter, you can cause some problems. The case statement which processes the window manager arguments has a statement missing that can reek some havoc on your logins.

To fix this problem, the case for AnotherLevel needs to be changed in the following way:

 AnotherLevel)
                OPTIONS=""
                RCFILE=""
                for tryfile in "$HOME/.fvmw2rc.m4" "/etc/X11/AnotherLevel/fvwmrc.m4";
                if [ -f "$tryfile" ]; then
                        RCFILE="$tryfile"
                        break
        fi
                done
...

should become:

 AnotherLevel)
                OPTIONS=""
                RCFILE=""
                for tryfile in "$HOME/.fvmw2rc.m4" "/etc/X11/AnotherLevel/fvwmrc.m4";
                <B>do</B>
                 if [ -f "$tryfile" ]; then
                        RCFILE="$tryfile"
                        break
                 fi
                done
...

Without the "do" statement, the Xsession file will not get executed at login, which causes the system to bounce back to the initial login screen.