Obviously the 3 legacy airlines will probably catch your eye first. Not only are they the most accessible, but their alliances with other worldwide airlines gives you a pretty good footprint to get almost anywhere you’d like in the world. All 3 certainly have their pros and cons with their programs. However, remember you aren’t limited to just the big 3.
JetBlue, Southwest, Alaska, Allegiant, etc. could be a better choice. It all depends on what’s accessible and where you travel. Southwest might be a great option to fly domestically, but you won’t get much help going internationally. Delta might be most useful if you’re near Atlanta.
Finally, if you’re in a border city (like me) you might want to see if it’s cheaper to fly out of a nearby airport across the border instead. Living in San Diego, it’s really easy for me to fly out of Tijuana especially now that they have a bridge that connects the US side with the TJ airport. Flights out of TJ are usually cheaper than flying out of SD and even with the added time and cost of a taxi, getting through customs is a breeze compared to going through LA. Since more flights out of TJ will connect in Mexico City, flying to Latin America is easier and cheaper out of TJ than LA or SD. In cases like this, it may even make sense to have loyalty to a carrier like Volaris or InterJet. It all depends.
Of course, you’re not locked into one carrier. But when it comes time to redeem those miles, remember that you can’t combine miles from different carriers that aren’t in their partnership or alliance. You can redeem those miles to other carriers in their alliance but not across alliances. For example, miles earned with United can’t be transferred to Delta or Southwest but you could use those miles for use on Avianca (a fellow Star Alliance member). So if you’re primarily going to travel with a particular carrier, I’d recommend sticking with one to start. In the long game, I wouldn’t recommend earning rewards to just one airline since rewards rules change constantly. But if you’re just starting out, I think you’d want to have all your rewards in one spot so you can see and redeem their value. As you start travelling more, you should definitely branch out.