The best deal for upgrading to First on an airline is probably through America West. They have a farily new program where you can upgrade within 4 hours of departure for a reasonable price: $50 for flights 0-500 miles, $100 for flights 501-1000 miles, and $150 for flight 1000+ miles. I would really only recommend the splurge for the "longer" flights though where you'll be getting a meal. One catch is that there must be open seats in First to sell at the time you request the upgrade (no standby status).