Who says you only get to have one???!!!

I have four myself. My smallest/lightest is a keyring model. That's in my pocket always for everyday urban movement (work, shopping, whatever). Except when I decide to carry my larger urban kit, which has more stuff carried in a micro-sized camera pouch. That's fine in a jean or jacket pocket, but slightly too bulky for all day comfort.

Then for outdoors I have my Altoids tin kit that is always in my pocket when I am hiking. For longer hikes, or remote hikes, or solo hikes, or when I'm carrying my larger daypack I also carry my Nalgene kit in the pack. Along with extra clothing, food, emergency bivy, etc. that won't fit into the Nalgene bottle (this extra gear is carried seperately in my pack).

Same deal with knives. 90% of the time I have a Spyderco Native clipped into my pocket. But for church and other more formal occassions I opt for a smaller and more discrete knife inside my pocket. For a run inside the airport, no knife. For sporting events during "orange alert" conditions where they may wand you down, a small CRTK "PECK" that generally isn't picked up. And if it is, many don't recognize it as a knife or think it's so cute that they don't bother with it.