I have a Canon S800. Six different colour ink cartridges and they are separate, which potentially reduces running costs.
One thing that is nice is that Canon have released new EXIF drivers for it, so that theoretically the colour matching between the camera and the printer will be better.
Some Canon cameras, plug directly into the S820 and more recent Canon printers, meaning that you can print without going through your PC.
Yes consumables are expensive, but you only print what you actually want.