An alliance just means that airlines work together. Usually that means earning/redeeming miles across carriers, and having more codeshare options available (for example, but an NW ticket to go to destinations that only DL serves by flying NW codeshared DL metal).

I don't think there is any alliance with alliance-wide upgrade benefits. Upgrades are generally a benefit negotiated between individual airlines, not across a whole alliance. For example, NW/CO/KL offer mileage upgrades to each other's members, but NW/CO members can't upgrade with miles on any other Skyteam carrier. UA/LH also allow each other's members to upgrade with miles, but not other Star Alliance members.