When I lived in NL I started with KLM then went over to Delta. You will quickly get *miles* with KLM only if:
1. You get the Amex card tied to KLM and spend a lot (get someone to refer you for bonus miles and the first year free - I no longer have the card so can't help here) - annual fee is about EUR140 depending on the card; and/or
2. You fly the very highest fare classes. Otherwise expect 25% miles which, especially in Europe, don't add up to much! As mentioned, you get 100% miles with Delta whilst KLM only gives you 25% for the lower fare classes.
You will quickly get *status* with KLM if you fly a lot of flights, regardless of length. Unlike Delta, you only need 15 segments (instead of 25).
So if you want status and fly a lot, go KLM. If you want miles, go Delta.
For other alliances, notably OW, I just used AA as it was most suited to me. There was no advantage of one over another.