I normally carry one of those small pouches that can carry a vast amount of stuff in them, in it, I normally have a Leatherman Wave, Micrtech SOCOM/Emerson Commander, Surefire 3P, and my wallet, cellphone, pager, etc...
other than that, I normally carry my Microtech SOCOM in its sheath...yarz...or when I need a smaller knife, I carry the Vector, one of my fav blades...