Some are better than others. I don't use Tesco but I understand that they're points system can be easily played by using special offers, buying and returning things, etc. I personally think Boots is the best value for money - you just go in, fill out the form, and get the card. Points count toward purchases in Boots (but you can't combine money and points - e.g. if you've got 5 points, you can buy something for five pounds or less - you can't get 5 pounds off a bigger purchase). Nectar is good 'cause it's taken in so many places - I use it in Sainsburys, BP, Homebase, and we get points for using TalkTalk for our broadband and for using EDF for our electricity.
As for credit cards, I only use an AmEx British Airways card, but I'm sure there are others. I use it for all of my groceries and petrol so it does add up.... Oh, and I've got a Shell points card as well that you can use for BA miles.