As others have already said, it all depends on your travel patterns.

Some argue it is best to stick only to one program within each alliance.
By putting all miles in one program you can much more easily rack up a lot of miles if you intend to use them for an expensive award ticket, for example a longhaul flight in C or F.
If you split the miles that would obviously take much more time.

However if you do enough travelling to get status in two programs, and you really limit your travels to 2-3 airlines, then it could make sense to join two programs.
Each airline will always treat their own status customers best, give op-ups to their own golds before other *Gs and so on.
So by being a member of several programs you get the most out of all airlines you fly, assuming you fly enough to attain status.

But it really depends on your travel patterns and what benefits you want from your frequent flyer program(s).