IMHO, it's about choosing the airline (and their partners) that you're most likely to get booked on so you can accummulate most/all of your benefits into that program.
My Opinion:
If your "home" airport is a hub for one (or more) carriers, I'd start out by exploring that airline and that airline's alliance partners. For example, DTW is the airport from-which I originate (almost) all of my round trips. DTW is a Northwest/Delta hub, so I usually get myself on NW/Delta flights or SkyTeam Alliance partners (Alaska Air, Air France, etc).
If your "home" airport is not a hub for any carriers, take a look at your local airport and see which airlines seem to offer the most flights in/out of it -- Preferably direct flights to one-or-more of your commonly-traveled-to cities.
You may also want to align yourself with an airline (and partners) who operates a hub or "focus city" in most of your commonly-traveled-to cities.
(excerpts from Wikipedia entries for your target airports below)
Orlando (MCO) - The airport serves as a secondary hub for AirTran Airways and a focus city for both Southwest Airlines and JetBlue Airways. Southwest Airlines is currently the airport's largest carrier in terms of passengers traveled; SWA carried one-fifth of all passenger traffic at MCO in 2006
San Diego (SAN) - Not a hub for anyone. The top three airlines in terms of market share are Southwest Airlines (36.2%), Delta Air Lines (10.9%), and American Airlines. (10.6%).
Denver (DEN) - Denver International Airport is the main hub for low-cost carrier Frontier Airlines and commuter carrier Great Lakes Airlines. It is also the second-largest hub for United Airlines (after Chicago's O'Hare International Airport), as well as a focus city for Southwest Airlines.
Dallas (DFW) - American Airlines hub.
New York City (LGA) - The airport serves as a focus city for American Airlines and their regional affiliate, American Eagle. It will become a domestic hub of Delta Air Lines.
New York City (JFK) - JFK airport is the base of operations for JetBlue Airways and serves as an international gateway for Delta Air Lines. It is also the smallest hub for American Airlines.
Newark NJ (EWR) - Continental Hub
Seattle (SEA) - The airport is a hub for Alaska Airlines. The top five carriers at Sea-Tac in number of passengers carried in 2008 were Alaska Airlines (34.2%), Horizon Air (14.2%), Southwest Airlines (8.9%), United Airlines (7.4%), and Northwest Airlines (6.9%).
Good Luck, and Welcome!
Sean