as everyone here will probably also say,
you really have to take into account the destinations you'll be flying to primarily; are you a segments or a miles person?; how often will you be flying; domestic or international?; It never hurts to join as many airline programs as you like - it's just that you have to strategically concentrate your travel onto only one or two airlines.

CMH is a hub for america west - I'm not a big HP fan right now, but they are a CO partner and perhaps some other HP loyals here can shed light into how their CMH operation is.