If you fly on an airline, you might as well sign up for their frequent flier program since it is free and you can build up towards free travel.
Keep in mind that even if you are flying on one airline, you may be able to earn miles for a different airlines frequent flier program. You should try to have miles through as few airlines as possible and it's best to go with an airline where you live near one of their hubs.
Here are a few airlines that are grouped together, meaning if you fly any one of the group, you can earn miles for the program of any other airline in the group:
Southwest - no others
Jetblue - no others
Virgin America - no others
Frontier - AirTran
American Airlines - Alaska Airlines
Delta Airlines - Alaska Airlines - Northwest Airlines
Star Alliance: US Airways - United Airlines - Continental Airlines
Note some overlap, Alaska Airlines cooperates with American and Delta, but American and Delta do not work with each other. That means, based on the chart above, to cover the most airlines with the fewest programs you should consider membership in a Star Alliance airline and Alaska Airlines, that way between 2 memberships you'd be able to earn and redeem miles with 7 major domestic airlines.
There are also a lot of other international airlines that combine with the above groups, which makes it possible to earn miles for a domestic airline even if you fly on an international airline, like Iberia, and you can also use your miles from a domestic airline for a flight on an international airline.