There are some marginal benefits, like Continental reserve all their 'nice' seats for frequent flyers - so if you are reserving your seats you will find that the first few rows are reserved for FFs as these are the people most likely to want a quick exit from the plane. FFs are reported to be more likely to get an upgrade - I saw this happen where crew were looking for a single person with an empty seat beside them - they were upgraded to business and the couple were re-seated together (in economy). Same goes for 're-booking' where a flight is cancelled in the US - FFs would expect to get more favourable treatment in these circumstances. Of course, if you don't fly that much then the chances of getting lucky are going to be low anyway. I've never benefited in this way, but fair dues to Delta they called me to the gate one time long ago before I was in any FF schemes and upgraded me to business for no obvious reason.
Sheraton hotels certainly put in that little bit of extra effort for their frequent stayers - I'm not sure if this transfers to FFs who stay in their hotels (and get points on their FF scheme), but it probably is.
We are booking a night in one of the Dubln Airport hotels just after Christmas on the back of just under half the points I accumulated from a few days stays here and there during the year on business. As they say in the US - a €100 value . . . not bad for sleeping in a hotel I was going to sleep in anyway.
I would suggest signing up with Delta, scanning the details they send and then maximising your points by hiring a car with their partners, staying in partnet hotels, etc . . . but obviously only where the price differential is marginal.
z