I would pick the airline that has the best (for you) service to the places you fly the most, whether that means most convient times, friendliest staff, best food, or whatever you value the most. Being elite on your "home" airline is probably more valuable than being an alliance elite. You're more likely to get good treatment during irregular ops, or op-ups, and you can take advantage more easily of mileage bonus opportunities. Others might have a differing opinion, but I feel pretty strongly that if you fly one airline much more than any others, and you gain elite status in their program, they're going to usually treat you much better.

Of course, if you're in NYC, you're very lucky & you have a large number of airlines to look at.