Some of us have already decided to do it and, after long investigation, selected the Leatherman Squirt P4 shown here:
http://www.leatherman.com.au/product/Squirt_P4Cost about $80, but has the following features worth the money:
It is made of stainless steel, so it won't rust in seawater.
It folds up into a small package, until needed.
It has a VERY sharp blade
It has a pair of pliers (useful for trying to untangle wet ropes)
It has a loop on its bottom, to which 2mm rope can be attached
The 2mm rope is long enough so that when it is around your neck, the knife hangs to crotch level.
Worn inside your wetsuit until needed (blade folded!
)
On the water, during an emergency, the knife can be used for cutting etc. and if you drop it, the loop around your neck stops the knife from sinking to the bottom.
So far, only ever used once, about 1 km off shore, in choppy water, to de-rig a buddy's gear after a mast snap. He couldn't untie the downhaul: I sliced through it in 30 seconds.
Hope this helps.
in your neighbourhood 
