I was going to jump in and bash Southwest but look, many have done it for me! Not only do you have to fly Southwest but you have to fly them an awful lot in a short time for your flights to be worth anything. When I was living in Seattle, I usually looked at them for options since they have a lot of flights on the West Coast but always ended up booking Alaska.

Now there's my vote for best program: Alaska's Mileage Plan. Mostly because it has so many partners and outside the alliances. In the US alone you can earn/redeem on American, Delta, Continental and Northwest, so it basically covers all the big carriers except United and I can throw away the rest of my points programs.