http://thepointsguy.com/2011/05/maxi...sfer-partners/
has a good series on using your MR points. Or you can contact the owner directly for individual consulting help.
Go to Continental.com or delta.com to do some dummy bookings to see what is available, and how it would fit with your plans. The previous mention of going Lufthansa is because both they and Continental/United are a Star Alliance members, and it is possible to use Continental miles on a Lufthansa flight. Lufthansa was recommended because of its reputation as a superior first class product.