flying with Delta: enroll in their SkyMiles program, or something else?

[space-time]

Hi, it looks like flying with Delta to Europe is the most convenient way for us, since they have direct flight. They're not always the cheapest, but oh, well...

Now, I am about to enroll in their SkyMiles program, all three of us (2 adults and one toddler). But I wonder if there is another program that offers more perks out there? It would be nice not to be restricted to Delta, i.e. if we could fly with Delta and maybe once in a while (business trips, other destinations) with other airlines, then i would like to combine the miles so to speak. Is that possible?

Thanks