One Ticket To Paradise

My first stop on this journey? Figuring out the best way to actually go around the world. From all the advice I've read, there seem to be 3 main options:

1) Buy a Round-the-World ticket from a major airline alliance, such as OneWorld or Star Alliance, which basically require that you actually go around the world (one pacific and one atlantic crossing - must keep going in a single direction) and charge by the mileage level you expect to use.
2) Use a travel agency that specializes in round-the-world itineraries to plan and book flights across all available airlines - which is apparently cheaper than option 1, but also less flexible, plus you don't earn as many of those sweet, sweet frequent flyer miles.
3) Book flights as you go - buying your next flight(s) from the location you're in. Apparently it's much cheaper to buy flights once you are abroad, and this obviously gives a lot of flexibility, but also requires better budgeting.

So far, I find the Star Alliance option most compelling - they have the most partner airlines, and thus, what seems to be the most flight choices. Also, the price in coach seems to fall around $4-5k for the 10 stops I've used as a sample, so far. Not bad. Plus, could use the United miles I'll earn to plan my follow-up trip.

On to the next step...