I'm competing in Biathlon (just the swim and run components) and Triathlon (swim/run/shoot) events at the moment, as well as separate fencing competitions. Next years goal is to add Tetrathlon (swim/run/shoot/fence), and possibly a full Pentathlon later in the year, depending on how my riding is going. The shorter events are popular, due to the logistical and financial burden of hosting a full event. I'm competing every 2-3 months at the moment, really just to gain experience and as a measure of how my training is progressing. Last Saturday I took 13 seconds off my 1000m run time and 4 seconds off my 100m swim time from 3 months ago, and there is definitely more to come.
Brandon - good suggestions, thanks. I think my strength and power could definitely improve, but running and swimming will take priority. I do track my training but will start to keep a more detailed log. I'll see how it goes for the next 3 months and then take stock.
Thanks again everyone, it's given me a great deal to think about and has definitely persuaded me to reduce my training load.