Basically, point systems dedicated to a particular vendor (airline, retailer, other) can offer you more (apparent) value because they're "buying" the ticket from themselves at wholesale rather than retail cost, so a point costs them less than its value to you. So if you actually need those points for something you're going to buy anyway, from that particular vendor, it can be a better deal.
But the operative words are if and can. Figure out the value of a mile, for the typical routes and typical times at which you fly. Figure out how many miles you get per dollar spent. Decide how much flying you expect to do, on a regular basis, on that airline. Decide whether you're willing to accept a slightly-larger-but-delayed return which can only be used with that one company, or would rather have a bit less with more flexibility and sooner.
You may also want to look at "generic points" cards. My credit union offers one; they have a point system which can be traded in for cash (at one exchange rate), or points/vouchers at specific vendors (at a different exchange rate, presumably depending on what kind of deal they can cut with that vendor). That's a compromise between the two; you don't get as much value per dollar of purchase as a dedicated card, but you have a lot more flexibility in where, when, and how you use those recaptured pennies.
Finally, there are services which claim to be able to exchange points in one network of airlines for points in another network -- while, of course, skimming a percentage off the top for their own profit. Presumably they have deals with the various networks similar to those of the generic cards, but which include being able to sell points back to the airlines (probably at a lower cost than they pay when purchasing those points). That's a last-ditch solution if you decide you really need to use points from one airline to buy tickets on a competing airline; you lose some of the value but recapture some flexibility.
Which suits you best depends on what you're buying when. If you're already trying to build up points on a particular airline because you're flying with them on a regular basis (visiting relatives every year, for example), having your purchases contribute to that pool is worth considering. If your travel is scattered across multiple airlines, I suspect you're better off with generic points, cash-back, or points at some vendor you do shop with relatively frequently.