I have an Emprex CD540 reader - it handles SD/SDHC, MicroSD/SDHC, Memory Stick Pro and Duo, XD, MMC Micro, M2, and xD.
When you use SD/SDHC, the card fits inside the reader, you can close the end cap, and it becomes a thumb drive. Transfer speeds are pretty fast too (subject to card speed).
Memory Stick also uses the end of the reader, but I don't know if the cap closes over a Memory Stick or not, since I don't have any Sony gear. Other formats slide into slots on the sides of the reader.
It also has a swiveling guard that will cover the USB connector when you carry the reader in your pocket.