I never paied much attention to this. Is it worth being loyal to an airline alliance? What should I look for when choosing which alliance to be loyal to?
As already mentioned, the answer depends on your travel patterns. In my case I did some calculations and I decided it doesn't make particular sense for me - I can save much more by choosing the cheapest airline (often one of the cheap ones) than getting the benefits from loyalty programmes.
I think these loyalty programmes were designed for people who travel a lot for business purposes - then someone else pays for the tickets so it doesn't cost to choose the same airline all the time, but you get the benefits yourself. It certainly makes sense to use the loyalty programme in this case!
Well I a agree with the answer of @Grzenio in most cases.
But there is a case, when choosing an airline alliance can be worth it. I had a friend who had to fly almost every week end / every other week end from Paris to London and vice versa because his parents are separated.
By being a FlyBlue member (Sky team) he often got upgraded (not only on the Paris London flight but on other SkyTeam flight also), and saved enough miles to get a flight in europe for free. Also this case is really particular, it is just showing another use of the loyalty to a company.