1. Delta is the only airline of the big 3 legacy carriers (Delta, United, American) that offers a status match. United and American offers challenges for the status.
2.If you are going to fly a lot domestic it would be worth getting status on an a carrier in the US as many of the offer upgrades for free.
3. Consider the airline that is convenient - for example getting on *A in Atlanta is hard as it is a Delta hub.
As for the challenges, they usually have it for different statuses.
Personally I have switched to United and is 1K - 2 years running now. I have been very pleased, free upgrades to Biz class from economy on international flights 80+% of free domestic upgrades. However, I would be hesitant at this point to suggest United until end of the first quarter 2012 as they are in the middle of the merger with Continental.