Hi hihik,
Being based in the US, I would probably go with the programs of US airlines. You have Skymiles, I would add Continental to it. That will give you a membership in 2 alliances, Skyteam and Star Alliance.
Going to Moscow, you have plenty of options on either Star or Skyteam.
After that, it's a question of maximizing flights with one alliance. You may find more options on Star, with US, UA and CO all members.
Cheers,
GenevaFlyer