Major US airlines had declared bankruptcy with no loss of miles to the frequent flyer. These include Eastern, Continental, Pan Am, TWA, etc.

The exceptions include Legend and Midway (Metrolink). These two were small airlines, however. The most painful exception was Ansett (Australia). Lots of people loss many points in Ansett's program.

I would be concerned where will UA be in 5 years. Will IAD and SFO/Pacific routes be sold off? No one may want to buy the Latin American routes as DL would wait until UA folded assuming that NW doesn't want them.