Both the K10D and K20D have this feature.
On the K20D the multiple exposure selector is in the menu under the Extended bracket feature on the first menu in Rec. Mode.
Yet another reason to stick with Pentax - easy schmeesy. I can not comment on the K200D or K2000D as I do not have them, nor do I plan to get one. The K200xD people should chime in.
The Elitist, formerly known as PDL
Edit: I know of no feature to allow you to make multiple exposures on any digital camera after the image has been stored on the media. Even back in the days of film and 35mm SLR's this would not be a simple task. Registration of the objects in the image is the difficult part.
I have done this before, but with an intervolometer, large heavy tripod, controlled light source (color temp) on super 8mm Kodachrome. I did do some image overlays (what it appears that you are trying to do) with 35mm images. I took pains to use prime lenses (don't have to worry about getting the focal length the same over long periods of time), shot at the same time of day (hopeing that the sun was either up or not), I put targets down for later use to register the images for overlay (to get the objects in the same place) and marked the tripod settings (height, leg positions, leg extensions and head angles) to make it all repeatable. In the darkroom I would either stack the negatives (if everything worked out with the dimensions) or I would set up the "final" print with the targets to get the images to overlay.
Took a lot of work - with digital it should be easier - but, still a lot of work. I would suggest a very steady tripod that would not move during the duration of the shoot. Use a standard f/stop for consistent DOF from image to image, a prime lens so the focal length does not vary. Place targets for position and color balance at the edge of the frame and possibly carry a artificial target for focus - so you get repeatability.
Not an easy thing to do, but possible.
Last edited by PDL; 12-22-2008 at 12:18 PM.
Reason: gooshin posted his real question.