I retired in mid-2014 with LIfetime Gold status and a pile of AA miles. I feel a bit of an attachment to AA because that does mean no checked bag fees, use of Priority lines, and sometimes an earlier boarding group. Sometimes I can't figure it out at all- after not flying AA for over a year I was upgraded (using the 500-mile certs) on 3 out of the 4 segments on a round trip between MCI and BOS.
Still- for the long hauls I consider myself a free agent and it's very liberating. As others have said, the perks of loyalty can be bought for the price of a Business Class fare. Since retirement I've made two trips to KEF on IcelandAIr and selected UA for my upcoming trip to Edinburgh because the price and the schedule were better. I did just get the AA MC for the 60,000-mile signing bonus and that will affect my decisions somewhat, but when it comes up for renewal all bets are off.