Are wallets compatible with different clients? If I create *.wallet file in MultiBit, encrypt it with password and transfer some coins to it - does it tie me to this particular client, or can I open *.wallet file in any client
Almost every client has the option to export your Private keys.

MultiBit also has this option.

You can think of a wallet file as a container for your Private Keys and a list of your transactions. This wallet may be in a different format for different clients, but you can always export your Private key, and that is what matters most.

Bitcoin-qt has a wallet with a key pool and addresses that does not show. The best way to move your coins is to send them to a new address in your new wallet. But if you have a favorite address you want to keep, you can export from the Console with "dumpprivkey".

Here is my answer, how to export from every client

But there are also services that keep the Private keys.  These services do not allow export.


Coinbase
Coinkite (You get your private keys - but encrypted)