I spent nearly ten years at Express and it was a miserable place to work. As far as regionals go, I don't know if any regionals are any better; they're all just varying levels of abuse and lousy pay. Wherever you end up, move on as quickly as possible.
Regarding Express flying for Southwest, I'd heard that rumor for at least the last four years; since the IPO. I don't put any faith in those rumors. I don't think it fits Southwest's gig and furthermore the RJs need high yield markets. Mexico is good yield and fair loads but is such a departure from Southwest's model I don't see it happening. There are a lot of great growth opportunities for Southwest inside the US.
CAL's capacity purchase agreement is their largest debt obligation: 1.34 billion dollars in 2006; with nearly 100 million of that to meet Express' contractual profit margin. (AWST 27Mar06 "Cash Calf" p.48) Continental would be foolish to not: 1. renegotiate more favorable terms for feed capacity 2. farm out feed flying to cheaper inferior products like Mesa or Chataqua. Bethune cared about the quality of the product; current management is all numbers.
I believe Express will end up flying for another carrier, flying will decrease at CAL, but that additional flying will not be JetBlue or Southwest.