My old one did, but it sounded like a trials bike, which was irritating. My other one was as big as a 1 year old cat and of a similar degree of inconvenience when dangled from ones waist.
My chum and I went halves on a singing, dancing 4 gas meter which is a lot smaller.
Despite mucking about under waste tips and rubbish shafts, I've only seen a few ppm of H2S, no CO ever and about 4%lel, which is ****** all. I'd go for an oxygen only meter each time, on the proviso that you could either disarm the alarm or reset it to any setting. Otherwise you find that all hell breaks loose below 19.5% which is pretty much an HSE arbitary level.
I find my oil lamp pretty good, but would want to know that air in a shaft was above 16%, which a lamp can't really tell you.