It also depends on upgrading possibilities and bonuses. For the not too frequent flyer, Alaska is a good choice because you can get credit for Alaska, American, Continental, Delta, Northwest, etc.
United is not as good because it's only United, US Airways, Lufthansa, etc.
If you fly a lot, higher level elites do get benefits from sticking with their airline.
Also consider joining several. For example, American and Alaska (putting AA and AS miles into AA and the rare CO/NW/DL into AS). Or United and American, or Alaska and United, etc.
I used to avoid Southwest. Now other airlines have reduced service to sub-WN levels in some cases. WN isn't bad for domestic awards. They have seat availability.