If you're asking what program to credit purchases to, it's not as simple as picking a single program and sticking to it.

Some programs offer very poor earning across the board (e.g. AirMilesMart, though I find them very RELIABLE). Other programs just aren't trustworthy (IMHO Goldpoints).

But otherwise it's more about which program offers the best deal with the merchant you're going to buy from. You need to compare which program offers the best earning for the particular purchase you're going to make. Andrew Cram's comparison chart is invaluable.

You also need to see what shopping bonuses are available. This MilesBuzz thread details some of the current holiday shopping promos.

Those two pieces of information should help you decide what portal to use for a purchase.

Bottom-line is to participate in several programs. I use Mypoints and do click on their emails but rarely buy anything through them.

I have Goldpoints, I update my email address every 3 months for 500 points and then transfer 1000 points into 125 Northwest miles once a year to get a partner credit in Northwest's annual Fly Free Faster promo.

But mostly I use the airline shopping portals, whichever offers the best deal at the moment (and sometimes credit purchases to FatWallet's cashback program or to ebates).