I recently flew DUB-ZRH-ATH on swiss and then ATH-MJT on
Aegean Airways.

I have an upcoming trip on Openskies from AMS to JFK and i'm then taking Jetblue to TPA. Same on the return...

I have done it many times in the past, but avoid it now for the reasons listed previously. You could be SOL if connections don't work etc...

I almost always end up using multiple airlines for all but the simplest, North-America-only trips. Going to Cairns last month, I flew UA to SYD, but used QF for the last leg. Next week it will again be UA to/from Brazil, but TAM for internal flights. So far this has never been a problem.

Frequently. I'm up in Chicago for work right now and I flew AA up and will be returning on UA.

Sometimes I'll take US out to LAX and then take an AA redeye to the east coast.

When using FF miles I often need to use two airlines to get to where I want to go. In 2006 I used DL miles to fly CO metal FLL > EWR > ARN > TXL > EWR > FLL. However my desired destination was not ARN but rather CPH. I could only get a FF seat to ARN and a return seat from TXL. So I arrived at ARN, claimed my bag, walked over to SAS and checked-in for my ARN > CPH paid flight. When planning the trip I gave myself a 4 hour buffer at ARN. Thank goodness. I had weather issues in FLL on the outbound and and missed my connection for EWR > ARN. CO put me on a CO flight to AMS (A1 service) connecting to a KLM flight from CPH to ARN (worst FC EVER!). The four-hour buffer at ARN became only a two-hour buffer. After a few days in CPH I flew SAS from CPH to TXL.

I take different airlines on the same trip all the time for budget and routing/destination reasons and frankly, I become my own travel forecaster, trying to make my trip itinerary more complexed for fun.

Recently did VS: IAD-LHR, then 2 hr. connection time from T3 to T2
LH Italia: LHR-MXP, then 1 hr. transfer to another
LH Italia: MXP-FCO
3 days later LH: FCO-MUC, then 3 hr. transfer to
LH CityLine: MUC-AMS
2 days later BD: AMS-LHR, then 1 hr. 50 min. connection time from T1 to T3
VS: LHR-IAD
Baggage was interlined from VS to LH outbound (carriers on one ticket); bags did not interline inbound from BD to VS (carriers on one ticket but airline locator did not match, grr!)

AS has only so large of a network (expanding yes! - but still limited on the East Coast and especially midwest!) so I'm forced to add other carriers

So I'll have an ANC-ORD-ANC with a mix (hopefully of NW) MDW-DTW-IND IND-DTW-ORD tied in...

Yes, especially on international award tickets that may involve open jaw or stopovers.

taking different airlines on outbound/return flights can also get you on the blacklist. once i canceled a return leg on WN because an alternative airline could get me closer to home at a more convenient time (i don't recall the airline). for the next year or so, i was blacklisted and could not check in online or through kiosks anywhere.

Assuming you are talking about the "SSSS" list from the TSA, such a beast no longer really exists, certainly not for oneway flights.