Upgrades on A* flights using miles is only available on some airlines. Also, in most cases, in order to upgrade using miles on another A* airline is only possible on full-fare economy tickets.

http://www.staralliance.com/en/benef...pgrade-awards/

That being said, I agree with RoaminRoman. My recommendation too would be go with the airline that you will will fly the most and hence would like to get the most perks on.