You should fly the airline that has direct flights to where you want to go. The less you fly, the happier you'll be probably. But if airlines are equal in this category.

You should accrue the miles you value the highest. That will depend on where you want your awards to go to and in which class. I would recommend AA miles if you want to go to South America, United miles if you want to go to Europe, and Delta miles if you want to go nowhere.