See the reviews at
http://www.remotecentral.com/reviews.htm. Everything you'd ever want to know about darn near ANY universal remote on the market.
Of course, these guys are a little up-market. They really get excited about the PDA-style remotes with LCD touch-screens and stuff. Now, I loved my Philips Pronto (until I dropped it on its little head and it died), but the universal remote that came with my new DVR cable box does almost everything I'd want. It doesn't drive my DVD player or change inputs on my tuner when I switch to DVD, but I do that rarely enough I don't mind doing it by hand.
The cheap little remotes will come with codes in the user's manual to tell it which sort of TV and VCR and cable box you have, etc, etc. You put it in programming mode, try the codes for your make of device, and see which of the, say, Sony codes work on your particular Sony TV.