That's the strategy I follow also. For Star Alliance I use United because being a United member I get the full domestic Star Alliance experience, but with US Air there are many aspects of United that US Air members can't use (economy plus seats).

I think the more important decision is which hotel chain to use. Airlines are still very regional, but hotels are ubiquitous so pick one program (Hilton, Marriot, Starwood) and stick with it.
Always sign up for a program because you never know how much you'll be staying with that chain in the future, but don't duplicate your programs (not really possible with hotels, but quite easy with airlines).

Nothing is worse than having orphan points.