I do have a preferred hotel "brand" - it's the one that I have a credit card for, and it has a pretty good money spent: reward ratio. I think it's best to pick one brand and stick with it, to the extent possible - otherwise, you dilute out all your rewards and never build up enough to collect anything.
With that said, I still have a fistful of hotel rewards cards from other brands. Sometimes "my" hotel brand doesn't have a cheap enough option local to my fieldwork, or I've been outvoted by fellow travelers who are partisans of a different brand, or another hotel is clearly superior. I try not to collect random hotel rewards programs, but occasionally I'll sign up to get free internet/room snacks/other random goodies at check-in time. I'm pretty sure the only major hotel brand I don't have rewards with (to some degree) is Wyndham (Ramada, Days Inn, etc). I also have rewards with some smaller groups, like Kimpton, although I'll probably never use them enough to get anything out of them.
I've recently been spending a significant amount of time (69 nights this year, sez my most recent statement!) at a non-preferred brand hotel. When I got my last statement summary, I decided to see if I could use up those rewards for an upcoming holiday.
This particular hotel was not terribly cheap - north of $100 per night even with a negotiated discount for the crew practically living at the hotel. So far this year, I spent at least $7000. And how many hotel nights at that brand could I get for all that money spent? Half of one night.
Yeah, I'll stick with my usual hotel brand, thanks.