It depends on a few things:
1. Okay, the obvious. Which store is near you for shopping in person. Otherwise, on-line each store card has different benefits, as noted by others.
2. If shopping in person, go for the store that gives the percentage off the day you sign up. Bloomingdales, Lord & Taylor, and Nordstroms give, I believe, 15% off that day (and sometimes the next).
3. If you're carrying a balance, you need to check the interest rates.
I registered on-line at all the major department stores, and now I get their emails about upcoming sales, etc (in addition to ALWAYS checking here, too). Here's an example of how this worked for me. I wanted the $995 Marc Jacobs Christy that I found at Bloomingdales near me. They had a promotion where for a $5 or $10 contribution, you would get 25% off your purchase that day. That day, I signed up for the Bloomingdale's credit card, and got an additional 15% off (it shows up on the credit card statement). I did this at the other stores near me, after deciding on larger purchases. So I guess my biggest point is to choose a card for a specific purchase so you get that additional one-two day percentage off.