I know I'm kinda late. But to answer that Question:
No microSD, no SD, no Storage Extensions whatsoever.
There is free Cloud Storage, though.
Also, yesh, you can use the Lumia 920 as Mass Drive on your PC, even better, it's some kind of PIN-locked Mass Storage with 32GB.
That means, you can't access the Mass Drive if the Phone's locked with a Code! Once it is connected and you unlock it, you've got Access to the Drive.
So basically, your Data is pretty much secure from other People who don't know the Code to unlock the Phone. I really like that!
Yeah okay, it should be mentioned that it's MTP [Media Transfer Protocol]. But that's just the Protocol for Data Transfer which is used by intelligent Storage Devices such as Phones. The Consumer won't really tell those two apart.
Admittingly though, the important Thing to note here is, Systems prior to XP SP3 can't handle it. Everything else (should? For me, it did) work fine with Plug'n'Play out of the Box, just like any other Storage Device.