SWA probably flies direct from Midway to every location you'd want (maybe), but I'm sure United would have the deepest coverage. Non-stop flights. That's what you're after. Connecting is just doubling the things that can go wrong in transit. For those of us that travel frequently, nothing beats non-stop service.
By the way, I have BOTH SWA and United FF programs. I would suggest enrolling in both because you'll accumulate huge points on either and it gives you more non-stop choices.