You can get a multimeter that will measure capacitance, resistance, and also check gain of resistors and test diodes. The only think you can't really check easily is an IC, which is a good enough reason to always use sockets.
I have a Unitrend UT60E which will do everything except the transistors (I have a separate tester for them) but I'm sure they'll do a model with transistor sockets too. Have a quick check on eBay, but this one seems to do them all
http://www.ebay.co.uk/itm/320920478527