I’m a member of BA but only travel with them a few times a year so don’t accrue a great deal of miles.
My main FF programme is Flying Blue, the award scheme of Air France & KLM. As KLM is a member of Skyteam, you can accrue and spend miles on other Skyteam airlines such as Continental, Delta, Northwest etc. This programme is great for me as the vast majority of my business trips are with KLM because a) they are relatively cheap and there are great connections in Amsterdam from my local at MME.
The programme itself is great. After little over a year in my new job, I’ve already achieved Platinum status meaning I get double miles on every trip as well as lounge access, even if travelling economy. I have enough miles now for two free business class flights to the U.S., or more flights if I travel economy. At the moment, I have no plans to use the miles but will one day soon.
If you want more details, check out http://www.klm.com
The miles do add up quickly, particularly if you always try and book with the same airline and you start moving up the ranks.
The best piece of advice I can give is stick to one FF programme. If you don’t travel too frequently, it can take a while to see things build up, this will take even longer if your miles are spread over a number of airlines.