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We all know that almost every single mayor airline has a loyalty or frequent flyer program. Even if you're not traveling as often as you would want, you should sign up for these. They are free, easy to set up, and the rewards are really worth it (in most of them).
Usually, I travel with the airline that has the cheapest ticket, but I have found that (depending on destination) some airlines tend to keep their larger lower than their competition on a constant basis; so, those are good airlines to sign up on their miles / points program.
Every time I travel with a new airline I sign up for their frequent flyer program, even if I know there is a chance that I will "lose" my miles due to expiration or just because there is a huge probability that I wont travel with them again. But, you never know how the world turns around!
I have been a "loyal" flyer with JetBlue (within US), American Airlines (US and EU), and a couple more airlines worldwide. Even though I always look for the cheapest ticket and most convenient flight, I have to say that sometimes I'm willing to spare a few more dollars on a slightly more expensive ticket IF that ticket is with one of my most used airlines. This way I will accrue more mile where I know I will use them eventually and those few extra bucks will pay off when I change my miles / points for that free roundtrip ticket.
So far, I have changed my miles / points for a total of 5 roundtrip tickets going from New York to destinations like Puerto Rico, Costa Rica, Belgium, and Frankfurt. Who does love a free roundtrip airfare? !! Well, I do !! So, the miles / points DEFINITELY pay up !!
It's good to have in mind that airlines are not the only ones giving miles / points for your travels and purchases. Credit cards, hotels, banks, and other companies do also reward you for using their services.
One good site I stumbled upon a few years ago is Points.com . This site gives you the opportunity to swap and redeem miles / points between participating companies. So, if you have miles / points on one airline you don't use often, you can transfer your miles (according to their conversion rate) to your preferred airline (if participating).
So, there you have it, sign up on those programs to start earning miles / points, and you'll be a step closer to that free air / upgrade / hotel that you really wish for.