One choice in this case is not any better then the other. It strictly depends on your preference in flying and lifestyle. Airlines are heavily unionized and as an employee of one you have very little control over the outcome of your career with one. Corporate rewards people who are "good guys" ie. people who are fun to work with, have good people skills, and maintain a professional image. People who bring these qualities to a flight department generally wind up at the best outfits. Of course, some of the best flight departments close shop after some time (average is 7 years) so just because you're with a high quality operator doesn't mean your job is more secure. Just ask the folks at Time Warner, AT&T, etc. If you possess the qualities I mentioned above, you will probably have a large network of people who will offer you a job with another flight department if your current one shuts down.
Southwest is a very good airline with a strong balance sheet RIGHT NOW. The same way United, American and Delta were back in the late 90's. When Southwest's fuel hedging advantage comes to an end in a few years they will be trying to compete with some of the highest labor cost in the industry. Can you say pay cut? On the other hand, if Southwest continues to find ways to remain competitive over the rest of the industry, you will make more $ as a captain at SW then as a Gulfstream or Global captain working for a GE or Citigroup.
Something else to think about; if your airline goes out of business, you have to start over at the bottom of some other airlines seniority list making 30k a year. If you lose a corporate job generally there will be plenty of opportunity to find the same paying job elsewhere.