There are some outliers, but you can mostly pick freely. Mages have it good in that regard.
Fire works best with NF, but Kyrian and Venthyr both got their saving graces. So does Necro but it also comes with CDs higher than the other covenants while not offering much more benefit.
Frost couples nicely with Venthyr and Necro, whereas the other two don't compare as favorably. NF is also quite decent. Only Kyrian doesn't mesh as well with our particular playstyle.
Can't say much about Arcane. The few arcane mages I've seen so far have been exclusively Kyran or Necro, both for the big burst setups.