In the late 90s, I flew them every month or so between Keflavík and BWI. At that time:
1. The only way to signup as a frequent flyer was to fill out a form, in Iceland (none were to be had at BWI)
2. They had no FF partners or affiliates
3. The only other passenger airline that flew to Keflavík was SAS (you can still get Icelandair miles for SAS flights). [A colleague caused a stir by hitching a ride on a Canadian cargo plane from somewhere in Canada into Keflavík.]
4. You could not get assigned seating until you got to the airport.
Hopefully, #4, above, has changed.
According to their Web site page for Frequent Flyers:
http://www.icelandair.com/main/view.jsp?branch=3420
They don't appear to have any airline partners with whom you can earn miles for flights on Icelandair.
Enjoy your visit to Iceland - I miss it!
There is a superb book that provides a detailed tour guide to Iceland. When I return home this weekend, I'll post its name and publisher - I highly recommend it.
I used it when I and a colleague drove around the ring road on the longest day of the year (1400 kilometers, all in daylight. Our most frequently sighted living creature (besides gnats) was sheep - its pretty deserted for most of the way around.
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AA EXP 1MM, DL Silver, HH Diamond, Marriott GLD, Starwood PLT, Hyatt PLT