I have miles on AA,UA,US,NW,CO,DL & Midwest. I have over 25K miles on all except Midwest. If I need to go somewhere in an emergency, it's nice having many options. I keep my miles active usually by crediting a hotel stay or a car rental to my about to expire program.
Another very good thing is I recently got a bump on a UA flight & they put me on Horizon. (PDX-SEA). I had my NW card with me & got NW miles for that flight. Got 500 miles plus 50% bonus for 750 NW miles. Also got my UA miles too!