If you truly are a frequent flyer, join the program that will allow you to consolidate your miles. This would usually be with the dominant airline in your region (i.e., they have a hub there). The chosen airline should be convenient for you and the one that has the most flights to the places that you frequent. This is your number one consideration, because when you rapidly accrue miles and reach the critical "25,000" mark, you can qualify for elite status.
However, if you are an infrequent flyer, compare the programs and choose the one that allows you the greatest opportunities to earn miles or points for all your non-flight activities. Consider your patterns of purchasing hotel rooms, renting cars, and general shopping.