Do you want to work at Southwest? Honestly, it's not for everyone.
I'm assuming you're like me, though, and you really want to work at SWA. You probably should do the internship... this could help you answer the above question (and probably make you want to work there that much more!).
When would you do the internship, and how long would it last? If we're talking spring semester 2006 and merely delaying getting hired at a regional by 5 months, I'd say go for the SWA internship. The next 6 months may not have much hiring at a lot of regionals anyway (Mesaba, Comair, etc. furloughing).
Other factors: does the internship pay anything, or more appropriately, can you afford it (besides the opportunity cost of not going to a regional right away)?
When I was in college, I was one of the few in my class that didn't do an internship with an airline. I did intern with a corporate flight department, and due to my committment, I delayed applying to regionals much like you might. It has been useful for me to bring this "honoring of committments" up in some of my interviews. There have been bumps in the road, but so far, my past decisions have worked out well for me...
Just don't second guess yourself after you've made the decision! Most of the time, you have LITTLE control of an airline career!
Hope this helps, good luck, and HAVE FUN!