Sorry, I'm incredibly new to this whole thing. I started off using the Armory Client for my Bitcoin wallet then was suggested to try "MultiBit". I've saved my .wallet file from Armory, however cannot open it in MultiBit. Is this normal? How does one use the same wallet? Stick to one bitcoin client? I also don't see the option to load a wallet on the original bitcoin client. Is it just easier to setup a wallet with a service like blockchain?
It is normal. Each Bitcoin client makes its own choices on how it stores its private keys and balance information. The main (Satoshi) client uses a BerkeleyDB database, BitcoinJ serializes its wallet object directly to file, and other clients do other things. While I'm not 100% certain how Armory or MultiBit store their wallets, chances are they've chosen different techniques which are not compatible. If you want to switch clients, I'd suggest generating a new wallet in your new client and using the old client to send all your coins there. If you have addresses that you'd like to keep from the old client, you'll need to find some way to export the private keys from the old and import them into the new via some standard they both support, like WIF (Wallet Import Format) private keys. Sadly, not every client will give you easy access to the private keys so it may not actually be possible - I'd refer to both clients' documentation for that answer.