I’m only aware of Trillian, which I can reccomend wholeheartedly. It can connect to MSN, ICQ, AIM and IRC. It used to connect to Yahoo, no idea why it doesn’t now (I don’t ever use Yahoo).
I use Trillian for MSN and AIM, and am mostly satisfied. It doesn’t work quite as well as the native clients (small stuff) but overall it works decently.
There is another universal client out there called GAIM, you could check that one out as well. I found it worse than Trillian but YMMV.
As pointed out previously, it doesn’t have all the “bells and whistles” the original IMs have, but it is a really good substitute if you have many friends/co-workers using different IMs.
Thanks for the replies everybody. I downloaded Trillian, but it only shows “partially connected”. For some reason, it’s not signing me in to MSN. So far I like it.