I haven't bothered with any attempts at integration, usually because it annoys me when others propagate their stuff everywhere. I instead have very specific use cases for Twitter, different ones for Facebook, and other uses for Gowalla. That way, if someone is following me on all three, they don't see me say the same thing three times over.

For the few people I follow that do duplicate their posts all over the place, I tend to unfollow them on all but one service, just to de clutter things on my side.