Before you start traveling, make sure you join a mileage program! You wil be best off by joining an airline in one of the big networks: Star Alliance, One World or Skyteam. The question is: which airline has the best airline reward program?
I personally think Star Alliance is the best network by far. South America used to be their weak spot, but after the merger with Continental and the addition of Avianca, Copa and Taca airlines they literally cover the whole world. Where ever I go, I almost always find that on of the cheapest flight is with a Star Alliance partner.
Once you choose your preferred network, you have to decide which airline to sign up with. You will get most benefits with this airline, so make sure you choose wisely. Check out which airline within your network has the best airline rewards program. Your choice will depend a lot on where you expect to be traveling the most. I travel a lot in the US, so I chose United. With my gold status (50k miles a year) I get some awesome benefits:
*complimentary economy plus seats on all international flights
*complimentary business class upgrades for myself and one travel partner on all regional flights (US incl Hawaii, Canada, Central America and the northern countries in South America)
*double miles on all regional flights
*up to 3 checked bags for free
*airport lounge entry on all international flights
Trust me, if you travel a lot, these benefits are awesome! It has saved me standing in line for hours, given me access to electricity, WIFI and free food and drinks in the lounges and has even saved my travel companions money by using my free bag check-in allowance for their bags.
Other then this, I have also noticed that airlines are more forthcoming in case of problems, if you want to change your flights, lost baggage etc. So make sure you choose the best airline reward program in your preferred network!