First of all, I hardly ever fly. Starting this year I'm going to start taking annual trips to The Netherlands. I'll probably be flying KLM, but it looks like they participate in all the mileage programs. Is this correct? It's possible I may fly SAS in the future, too. So, I'm confused, seeing as I never fly otherwise, which plan should I join?

AF/KLM is part of SkyTeam. Delta is the only U.S. member of SkyTeam.

Here http://www.skyteam.com and here on the klm site

SAS is part of Star Alliance. United, Continental, and US Airways are all members of Star Alliance.

I would offer several comments. First, if the only flying you do is once/year from Chicago to Amsterdam, it will take you a long time to accumulate enough miles to provide any significant rewards in any program. Second, you don't mention why you want to accumulate miles and what you would use them for.

My personal opinion would be to sign up for the Delta SkyMiles program and put your KL miles in that program. I would also get a DL AMEX credit card. There are a number of offers available that will get you 25-30K miles as a bonus when you sign up and meet some minimal spending requirements. I would then put as much of my spending on that card as well.

By combining your 8000 miles/year of flying with your credit card bonuses and purchases, you may accumulate enough miles for some upgrades or free tickets.

Do you ever fly domestically? You may also credit KLM miles to Alaska Airlines.