I made the switch last year and could not be any more happy! DL has the absolute best domestic UG program and percentages, the best handling of IRROPs for elites and some of the nicest employees. I was a CO Plat for the 5-6 yrs prior and got to witness the program deteriorate. Last year as a Plat on CO once my UG percent dropped to somewhere between 40-55% and I moved up north to Minnesota, it became a no brainer.
I started flying DL in September last year and earned GM status, then PM relatively quickly this year and I never travel on CO domestically anymore. The only reason I have CO Gold status now and will maintain it this year is because my travel on Copa Airlines for trips to Latin America and South America. The only negative about DL is that its international upgrade program is poor. The SWUs are not useful unless you want to buy a M, B or Y fare which to Europe are about $3,000 and Asia and South Africa are like $4,000. So I have split my travel now:
DL gets me domestically and sometimes to Central and northern South America (typically only Quito, Guayaquil and San Jose, CR because they have UDUs)
Copa gets me when I fly to Central and South America (Panama, Bogota, Quito, Guayaquil, Lima, Santa Cruz, Cordoba, Buenos Aires) because their upgrade program is awesome and they only reason I will keep OnePass Elite status.
Continental gets none of my business, the only CO flight I took this year was IAH-PTY but that connected to a Copa flight
I thought Continental was a great airline but I just really got sick of the disappearance of the EUA and constantly being offered to buy up my fare to get the F seat. I also got frustrated that when I did by an M fare as a Platinum that didn't have availability at the time of booking that I didn't automatically get upgraded once availability opened up. It was BS that a Silver could wait until 5 days before the flight and buy an B-UP fare and steal my upgrade (since they are the same inventory) just because I didn't get it at the time of booking and didn't notice when it opened up. I had numerous calls to CO about this and it was just such an easy fix that they never could do automatically, it always required a call. This year when they decided to merge with United I just laughed and it reinforced the reason why I went to DL.
My advice to you would be to match to DL, they will probably give you PM status through 2/2012. You can try them out next year and see the difference. If you are flying primarily domestic, it will be a great choice....if you are doing International runs, there are better programs out there. Miles redemption every on here complains about but my experience has been different, I have been able to find award tickets for myself and my wife almost everytime in the "Low" mileage category. Sometimes you just need to plan a little ahead and be flexible a couple of days to get the 25,000 mile award ticket or 60,000 mile Europe or Asia Award ticket.
And FWIW, I think if you do try it, book your first trip as JFK-LAX or SFO on a Saturday evening and you will likely get the upgrade to BE, have a few drinks and think to yourself "now this is what I'm talking about". You will be happy that you jumped ship, I know that I certainly am