xtable in Sweave works awesome, but does one table per regression. You can feed it a data frame, too, so I have been manually rbinding
A while ago I stumbled across the outreg function by Paul Johnson.
You can directly apply outreg to your lm object and combine several
lm outputs into one, nice latex table.
Here you find an example .pdf
outreg examples
and the code for the function
outreg code
general homepage by Paul Johnson
Paul Johnson