AFAIK, there is no way currently to chat with a user on a different service than you are on: eg., if you are signed in to Yahoo, you cannot send an IM to someone logged into MSN. But Trillian allows you to manage logins to all the different groups at once, so you can (more or less) converse with people logged in to all the services. So I'll second Sunshine, and say I recommend it (and the free version is plenty for most people). I use it a lot (often to chat with Alex!).
As an aside, I have found that I prefer AIM to the others, one reason being that is the only (I think) that allows you to be logged in from multiple locations simultaneously, so that I can work on multiple computers and have it running on all of them. Though generally they seem pretty much the same.
Speaking of unifying the services, Slashdot had this today:
http://slashdot.org/article.pl?sid=04/07/15/1157241