Without a doubt, Frank Zappa. Others that come to mind (but obviously aren't in the same league as Zappa)have to include Stevie Ray Vaughn, Mark Knopfler, and David Bowie (at last count Bowie can play 57 instruments, he has been blessed with incredible vocal range, although his material can be a little weak)
Best musician in the world?
A question posed in another thread, in my view, although musicianship is hardly a sport to be measured as such, the most universally prodigious musician is probably Shawn Lane. He is definitely the world's most phenomenal/inimitable electric guitarist. And he is a world-class pianist and saxaphonist as well.