By no means am I exclusive to one carrier all of the time. You are correct, there are sometimes better flight options on other carriers and better pricing. I try to stick with USairways but if I can fly direct or find a shorter flight time with someone else, I will take that flight.
In general and all things considered equal(pricing, flight times), if you can stick with one carrier you will be rewarded with some perks. Once I hit the 25 segments mark with USAir, I get free first class on almost every flight after that.