All of the above responses provide excellent reasons why one would use multiple FF programs within an alliance. However, in my view, the best reason is that alliances are unstable. You simply can't build a good FF strategy to address your objectives based on the current state of a carrier's membership in a given alliance (or even the carrier's FF program partnership with another carrier) because these things are fluid. What is valid today may not exist tomorrow. Recent examples where carrier's have left alliances or terminated partnerships with other carriers include Aer Lingus (AA/OneWorld), SAA (DL), LX (OneWorld-->StarAlliance), Qantas (can no longer redeem with US), and others. If you credited all your miles to a single progam hoping to use them on an alliance partner, you may wake up one day and be out of luck.