They can do something HBGary-style and hack sony's servers to gather confidential information that would embarass the company and bring the stock price down. That would hit where it hurts, can be doable with some social engineering, and any company that big is bound to have some skeletons in its closet.
Not that I condone these actions, I'm just pointing out that they have done finer things in the past than just using LOIC.
Sony survived the rootkit incident. I doubt that Anonymous will be able to do even that much harm unless they turn up something that the SEC would take offense to.
They are too decentralized and disorganized to do anything effective. All they really can do is DDoS people's servers and cause temporary inconveniences.
A DDoS has the same effect on a company and their customers as a sit-in does on a brick-and-mortar establishment. Sit-ins have proven to be both effective and socially acceptable. The main question with a DDoS is whether the balance of power between the protestors and the target is too favorable to a small group of protestors, not whether the tactic can work at all.