You'd generally want to start with collecting miles (or points in some airlines' parlance) with the airline(s) that meet your needs and/or using bank rewards programs as sdsearch mentioned.

While there are some hotel reward programs whose points can be transferred to airline miles, almost all of those are a poor transfer ratio, with Starwood being a notable exception.

Most importantly, where do you want to travel? That's the starting point for which airline FFP(s) to focus on. As noted above it's hard to give a meaningful generic answer. However there are FT forums for pretty much every airline program, hotel program, credit card program, etc. so the information is definitely here but more detail is needed from you.