Generally the airline you fly on the most will be the one program you want to enroll in. At the highest level elite, some programs don't give you as much bonus miles. For instance, Delta only awards 100% bonus miles to their mid and top level elites, whereas CO and NW give 125%. If you fly 200k a year, that could amount to a 50K difference a year.

Also, keep in mind that if you want free upgrades, some programs have a much better success than others. I flew on CO to South America recently, and I was amazed that I was upgraded on the domestic connections, 5 days out. CO and NW both upgrade each other's elites for most North American flights, plus some latin/carribean locations.