I totally agree, and I've needed a corkscrew often enough to carry a knife that includes one: the Buck Knife 761BLX Twin Peaks, at

http://www.hand-tools.com/product-detail.php?prodnum=B761BLX

My copy of the knife has Buck on the big blade, but no logo on the handle. The knife has a window-cracker built into the handle (the "lanyard hole" referred to in the page above), two blades (one half-serrated to cut your seatbelt), a can/bottle opener, and the corkscrew.

Pocket corkscrews like this:

http://www.penimpressions.com/poccor.html

are an option, but they are another item to have on your keychain/in your pocket/whereever, so having one built into the knife is definitely a plus if you don't mind the bigger size required to house the screw.