Currently most of my travel points go to USAIR DIVIDENDS since I am a Preferred member and I enjoy getting the extra bonus. I find their service to be better than the rest of the other US carriers.
I am also member of AAdvantage, Continental One Pass, NW Worldperks, AF Frequence Plus. I have been doing some thinking lately and would concentrate on accruing miles through US DIVIDENDS, NW Worldperks and AF. My choice for US is obvious, I have the most miles with them and enjoy the Preferred status. Having CO and NW programs seem to be redundant since these two carriers have reciprocal agreements. I think NW has very creative marketing bonuses and provides unlimited upgrades to its Elite members, so that alone might be worth it (although the service has a lot of room for improvement). AF Frequence is the easiest program to attain top tier membership with just 25,000 to become AF Freq Blue and 40,000 AF Freq Rouge. Flying on any member of the SKYTEAM will earn you points and they pretty much cover the world. Besides, the amount of points needed to redeem awards might be very enticing at times. One time I couldn't believe it when AF offered a BUSINESS CLASS award from N. America to Europe for only 50,000 miles or something in that neighborhood. Personally I have always enjoyed flying AF and I think that their crew is polite and very professional, not to mention one of the the best looking.