There are places in the world only one alliance can get you. For example, cities north of Bergen in Norway, such as Alesund (the closest airport if you want to visit Geirangerfjord), are served only by SAS (in terms of airlines in alliances) and thus only Star. I would presume there are other places that are OneWorld only or SkyTeam only, but I don't know of specific examples offhand.

Then there's the question of directness of flights. I'm based in LAX, and OW can get me nonstops to LHR and MAD, but if i'd like a nonstop to AMS or CDG I need to use SkyTeam and if I"d like a nonstop to ZRH or FRA I need to use Star. Obviously, if I don't care enough about whether I go nonstop then that may not be a factor.

At any rate, I collect more with my favorite aliance, but I collect miles in all 3 alliances. My favoirte alliance I collect on flights and other stuff; the other two alliances I don't tend to do paid flights, I only earn from partner activity. (But enough of that to gradually build up enough miles for an int'l premium cabin trip in each of those alliances now and then.)