Choice of airport in NYC makes a difference, too. If you are heading downtown, then EWR might be slightly preferable to JFK. If you usually head to midtown, particularly the east side, then JFK will be preferable. Choose your hub airline accordingly.

IMO the only reason to select CO would be for the free domestic upgrades (assuming you can get them) and perhaps to bank miles if you plan to fly their Skyteam partners to Europe. By contract, if you want to use your miles to upgrade those hellaciously long flights to Europe, the choice is clearly AA or UA. Also CO charges a ridiculous co-pay for many mileage upgrades (e.g. $400 one way), AA charges $250, and UA zippo (though the required fare class is higher).

In addition, be advised that purchased domestic upgrades on AA run $30/500 miles vs. $50/500 mi on UA. So if you want to upgrade LAX-JFK-LAX, it will run $300 on AA and $500 on UA. In general I have found it easier to secure an upgrade on AA than UA, but YMMV. Don't know about CO.

As for WN, the airline is great for short hauls, but probably not suitable for your situation unless you are travelling to the middle of long island, i.e. not Manhattan.