As far as hotel loyalty, I opportunistically hop wherever I can get a status match to high-level status. Currently Hyatt diamond via a challenge, in 2016-17 I plan to be Marriott platinum via Ritz Carlton card, I was Hilton diamond before that.
Traveling in Europe and Asia, it is difficult to overstate the value of top status, where lounge access means breakfast, soft drinks and possibly wine and beer all day, afternoon tea, heavy appetizers and cocktails, followed by coffee and dessert. For two adults, that is easily $100 per day worth of F&B; we might not even need to pay for food outside the hotel. At most we will pay for one meal a day, or nibble street food for lunch, or splurge on an expensive restaurant that would normally be an entire day's food budget. But of course this only works if you travel a lot, we do at least 12 trips a year, even if it's only a 3-day weekend.
As for credit cards that it makes sense to pay an annual fee (whether it makes more sense to churn versus keep is a completely different question)
1. IHG - $49 annual fee easily offset by free night, plat status usually gets you a free bottle of water, so better than a slap in the face. Plus IHG has ludicrously profitable promos where you can stay twice at a candlewood suites for $50 and get a free night at an intercontinental, and most locations across the globe. This is a card and a program that would be on everyone's #2 slot and almost no one's #1 slot.
2. Hyatt card - $89 annual fee offset by free night up to cat 4, plat status is occasionally worth an upgrade. Best to apply when you have a trip to a ludicrously expensive location like Paris, Tokyo, Sydney, etc to use your 2 free nights. I'll keep it while I have Hyatt diamond status and then consider canceling for a churn. The two free nights are almost too irresistible to keep the card more than 24 months.
3. Club Carlson - I keep this for the BOGO feature because I took full advantage of the ridiculous promos (70k for one night stay, etcetera) a few years ago and I am spending down the balance. I rarely find that club Carlson is compelling value outside of Northern/Western Europe. $75 AF offset easily by 40k points if you can find somewhere to use them.
4. Marriott card has a free night that offsets the annual fee, but this is a churner for me. Marriott status is damn near impossible to earn through legit stays. Marriott has been nice for the occasional megabonus promo where you can stay a couple of cheap nights and get a free night, but it looks like that's waning.
5. Hilton Surpass/reserve - this card is a controversial one among the hard-core travelers. Personally, I think if you don't travel much, Hilton should be your number one slot, getting free gold status through this card or promos (which gives you reasonable upgrades and more importantly, free breakfast). Most of the FT crowd disparage Hilton, with recent devaluations it is hard to reliably get more than 0.5-0.6 cpp redemption value. However, there are some unique circumstances where Hilton points are easily the best value, and I have seen offers on trading boards to pay 0.4-0.5 cpp go unanswered, even though Hilton points can be easily MS'd at 0.2-0.25 cpp at grocery stores. I think this card would easily be worth spending $40k in MS per year (if you have the excess capacity) for the 200k points and the diamond status. Especially if you travel internationally (along with limited US domestic locations) the lounge access is really nice.
I am actually having trouble getting value out of SPG card these days, I used to put all my day-to-day spend on it for the 1.25 airline points per dollar, but now I do so little spend that isn't bonused somewhere else, I really am not even getting the annual fee value out of it. I also find SPG the worst major chain for needing tip-top status to get any status perks. You need to be plat to really get any benefit except a higher floor. Almost anytime I stay at an SPG property, I get a friend with plat status to book for me, they get a q-night and I get breakfast. Time to churn that one...