If you fly enough then you can take advantage of special promos for extra miles under the various programs, and also different earn/burn rates. There are threads already on this, for example see www.flyertalk.com/forum/showthread.php?t=184438 or http://www.flyertalk.com/forum/showthread.php?t=184410

Edited. The above is considering different programs within the same alliance. Joining programs on different alliances may increase your access to status benefits and ability to earn/burn (ie can buy more on fare rather than sticking to certain carriers). Again, only of benefit if you fly enough.