This post will be split up into a Q&A format.
A: It's free! Nearly all airlines have a frequent flyer program and it is free to sign up. You may not think you fly a lot, but it can add up. Ultimately...why not? Once you understand how airline alliances work, you may realize that it is a lot easier to earn airline miles than you thought.
(2) Q: What is so special about these airline alliances?
A: Basically, in the world there are THREE main airline alliances, as you can see in the graphic above. So, by just signing up for a frequent flyer account in each of the alliances, you can earn and redeem miles for over 50 airlines in the world. And most of these airlines are ones that I'd assume you'd fly on for most destinations around the world.
(3) Q: Can you give me an example?
A: To use my own experience, I have a frequent flyer account for United Airlines (United Mileage Plus), American Airlines (AAdvantage), and Delta Airlines (Delta SkyMiles). These 3 airlines cover all the 3 alliances. So, if I fly any airline within the alliance, I can use my account number for one of these that I have to earn miles. For instance, if I fly Air Canada, on the page where I buy flights, I can choose United Airlines for a frequent flyer number and enter in that number. Then, all the United Airlines miles I get, I can used it on United Airlines OR on any of the other airlines in the alliance.
(4) Q: What about the airlines not in an alliance?
A: Yes, there are a substantial number of key airlines that don't participate in one of these alliances, but they typically have their own frequent flyer program so I just sign up for those. Example, I do have accounts for Southwest Airlines (Southwest Rapid Rewards) and Virgin America because I fly those fairly frequently. Also, most of the budget airlines in Europe (EasyJet, Monarch Airline, RyanAir) don't have frequent flyer programs but well, nothing you can do about it.
Let me know if you have any questions!