NationalSandwic and F_cksia,
Yeah, there are such things, that's what samplers are exactly. There are a number of hybrid beasts, like so-called "sampling synthesizers" or "sampling workstations," and you also mentioned Sound Fonts, which are a standard sampling format for Creative Labs cards (among others). There are also software samplers, that are applications that run on a standard PC or Mac and use its audio hardware to make the computer a full-featured sampler. Gigasampler/GigaStudio is a well-known example.
F_cksia, son't hold your hopes too high that sampling one note from a real sax is going to do you much good. In reality pitch-shifting a single sample only sounds reasonable for a couple of half-steps above or below; beyond that, it starts to sound unlike the instrument that was sampled. Sample sound sets usually use at least one (or several) samples every couple of notes to minimize this effect. There are a million other issues of acoustics and human perception that conspire to make it difficult to create a really good sample set from your own recordings.