Points.com is sometimes good if you need a specific transaction. For example, there is an Aeroplan promotion right now where you get 3 "stars" per points.com transaction, and 70 "stars" gets you a 16,500 mile bonus. So if you have (say) 120 USAir points, you can make 24 transactions of 5 USAir points to 1 Aeroplan point, and get your transactions that way. Also, if you want to keep an account active that requires a transaction every so often.

However, generally the exhcange rates are awful. Also, I think Amex and Chase do not participate.

In most cases, even if you need a few miles for an award, you are better off buying them directly from the program.