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I would say pick an airline that you think you will enjoy working for and can retire from. It may just come to that.
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With the state that the industry is in, it could be tough to do that. Your only option might be to fly for Great Lakes, but a 25-year old may not want to fly Brasilias for them for the rest of his life.
I would enjoy working for American right off the bat (man, some o' those stewardesses--er, I mean flight attendants) and retiring from them. But, I doubt that's gonna happen. I prolly won't even have much choice in the regional I fly for. Beggars can't be choosers.
In response to the original question, if you fly for an airline that has both turboprops and jets, Doug's recommendation is that if you start off in the TP and have a choice in upgrading or transitioning to a jet, take the upgrade. Lotsa people figure the majors like to see jet time. Which is true. But they'd rather see PIC time. Be a TP captain. The majors hire future captains, not future F/Os.
Check out Doug's FAQ:
http://www.jetcareers.com/faq.htm
EDIT: Oh, and I'm not even close to flying professionally yet, so take what I say with a grain of salt. I noticed JAM is a Challenger first officer, so consider the source.