My policy is to never pay a fee. If I see a fee I call and cancel. As long as I do this within the same billing cycle they have always been reversed.

Better strategy is to call one or two billing cycles ahead of an annual fee to cancel. Depending on current policies, how many miles they currently have in "inventory" and the phase of the moon you may be offerred a retention bonus of a few thousand miles. Take 'em then call back as soon as they post to close the account anyway.