The nice thing about just linking the inboxes is should you decide for whatever reason you don't want them all together after all, you can unlink some or all of them just as simply as you linked them, hassle-free, right from your phone.
Pretty much what he said...I have an old Hotmail account (not my oldest one though, lost it a long time ago after abandoning it due to spam at the time), an old Yahoo account, and my Gmail account (which has a bunch of sub-level spam-ready Gmail accounts forward to it as well).
I just set up the accounts and link the inbox on my phone works great. On the desktop I just use Live Mail (no unified inbox but oh well) and keep things sorted that way. This way though I can separate them without having a big mess of duplicates or anything.
I even added my wife's hotmail account to my phone recently since with work and school she
is losing her mind needs me to keep an eye on any important emails from her instructors.
And of course in Contacts I had previously gone through my Google and Hotmail contacts pretty thoroughly, I only have the Hotmail ones showing, some are linked, but all are searchable. Works great.