If I create *.wallet file in MultiBit, encrypt it with password and transfer some coins to it - does it tie me to this particular client, or can I open *.wallet file in any client
Almost every client has the option to export your Private keys.
MultiBit also has this option.
You can think of a wallet file as a container for your Private Keys and a list of your transactions. This wallet may be in a different format for different clients, but you can always export your Private key, and that is what matters most.
Bitcoin-qt has a wallet with a key pool and addresses that does not show. The best way to move your coins is to send them to a new address in your new wallet. But if you have a favorite address you want to keep, you can export from the Console with "dumpprivkey".
But there are also services that keep the Private keys. These services do not allow export.
- Coinkite (You get your private keys - but encrypted)