I thought about making the same jump last year. I am AA Plat and CO comp'd me to Gold. I have to admit that it was nice being bumped to first class the few times I actually flew CO (I was 6 for 6 on CO and 2 for 2 on NW), however when it came down to it I decided to stay with AA. I just have way too many miles with AA 400k+ compared to 35k on CO and I have heard of many issues with people trying to redeem CO miles. For example I flew to Cancun from LAX this past Nov using 30k miles round trip. My parents did the same flight using CO (though from EWR) and due to lack of availability used 70K each. Same thing with a trip to Puerto Rico this upcoming March.

I personally do not have an issue with either airline and have nothing really bad to say about either. I guess a biggest thing also depends on where you are going to be traveling from and where your home airport is. Too me this is more important in regards to schedule times than being up in 1st. Just my 2 cents for what it is worth.