I would start by looking at your home base location and then where you travel to.

If you live at a hub of a major airline (ORD for example) you will have to make some choices.

If you live in a small city serviced by commutter service that feeds you to one of several hub location, your choices are more narrow.

Then it comes down to where you will be traveling. If the main airline from your city does not fly to the main locations you travel to (or requires many stops) I would look for another airline.

For example with ORD, UA and AA are the 'big' carriers there. If you fly a lot to Asia, then UA would be a better choice with more nonstops than AA who only flies to NRT.

On the other hand if you live in IND, you will have to travel to a larger airport to make a connection. I do not know that airport so cannot offer advice.

I started flying heavily when I lived in ORD. I chose AA (over UA). I have since moved to the MSP area where NW is the prime carrier but owing to their general lack of customer service, I refuse to fly them. My choices are UA (to several cities like ORD or DEN) or AA (to ORD, DFW, LGA or MIA) nonstop. I know I have to connect at that point.

Since I have chosen AA, I stuck with them.

Yes I fly enough to retain top tier on them so get the 'perks'. I have also gotten to know the staff at MSP (its not a huge station) and they watch out for any problems and are always there to help me out.

I also belong to their Admiral's Club to get the benefits of a place to go when I have to connect.

Once you choose, jump in with both feet. Fly. Experience. Get a tier.