As a general rule, choose one airline in each major alliance. Then choose one alliance as your primary and accumulate miles there (flying but also credit cards and other ways), but when you simply have to fly another alliance you'd be set up to earn miles there too.
I like AA's AAdvantage program for earning miles and, when possible, using those miles on their partner airlines like CX and JL.
However, this is a complicated game. If I have to pay to fly the partners, I need to choose carefully, because some provide 100% miles, others only 25%.
This is tailored to my taste and circumstances. Your choice would depend greatly on which airports are near you, and where you usually go or want to go. Often those things trump many theoretical program details.
Good luck and welcome to FT!