There's a few ways about it. One is that you mine stuff that is not even on exchange yet, hoping that it is more profitable than anything on coinchoose/coinwars/wheretomine/etc.

There's another way, where you mine the coin that you want to support the most, despite how profitable it will be. At this point, you're only mining it because you support the coin and its services that it offers (or may offer in the future).

And lastly, there's the purist that only mines LTC and BTC because they're the "originals".

So obviously it depends what you're in this for. Myself, I need to make a few extra bucks... so it's rare that I mine something that is on an exchange already (because by that time it's less profitable for me to mine). More often, I mine something that looks promising that is not on exchanges yet (so it has not caught a whole lot of attention... yet). As most things in life, it's a you win some you lose some kind of game...