We positionally match sources observed by the Sloan Digital Sky Survey (SDSS), the Two Micron All Sky Survey (2MASS), and the Faint Images of the Radio Sky at Twenty-cm (FIRST) survey. Practically all 2MASS sources are matched to an SDSS source within 2 arcsec; ~11% of them are optically resolved galaxies and the rest are dominated by stars. About 1/3 of FIRST sources are matched to an SDSS source within 2 arcsec; ~80% of these are galaxies and the rest are dominated by quasars. Based on these results, we project that by the completion of these surveys the matched samples will include about 107 stars and 106 galaxies observed by both SDSS and 2MASS, and about 250,000 galaxies and 50,000 quasars observed by both SDSS and FIRST. Here we present a preliminary analysis of the optical, infrared and radio properties for the extragalactic sources from the matched samples. In particular, we find that the fraction of quasars with stellar colors missed by the SDSS spectroscopic survey is probably not larger than ~10%, and that the optical colors of radio-loud quasars are ~0.05 mag. redder (with 4σ significance) than the colors of radio-quiet quasars.