There is no one best option. It really depends on many factors including where you fly, how often, plus what kind of rewards and benefits you prefer. Some programs make certain routes easier to get awards on, others give perks such as free checked bags, discounts, etc.
Given a list of choices, you can only choose a program you are already enrolled in. So, if you are not a member of any program, you cannot choose any at this time. Almost all programs belong to one airline but some airlines are partners, so you can fly one airline and get points for a partner program.
It is possible to be enrolled in multiple programs. In this case multiple choices will be valid. You can only choose one per booking, so in that case select the right one based on your current status with the program. If you have a program with miles close to expiring for example, selecting that one usually resets the expiration. Otherwise, you may be close to getting a certain reward with a program and you can choose that one.
Now most airlines will let you credit points (or miles or whatever their virtual currency is called) after a flight is booked. In this case, you complete your booking and then enroll with the program. Once you get your account number, you call the program and tell them you flown on a particular flight and they will usually award you the points a few weeks later. There is a deadline to do this, which varies, so try to make the call within a month or so.