I have laptops from three of my clients, plus my own Thinkpad. I strive to use my own. Most of the client laptops stay at my house, piled up in leather cases next to my desk. I try to figure out how to emulate each environment and place the needed tools onto my machine, but this can get tricky, especially for very large enterprise customers that are using sophisticated authentication techniques.
True integration can get pretty intense. For one customer, I have a unique Outlook profile, a VPN connector, windows shares, and customized encryption software for processing all inbound and outbound email.
I've thought about creating separate VMs for each customer, but even that won't work in some scenarios.