I know this is an old thread but I've been looking into the same thing myself recently and came upon it, so I thought I'd reply in case anyone else is wondering about this.
I'm quite new to sfz too, but I haven't seen any files at all with a full GM range of instruments in the same "selectable" manner as something like an sf2. However, sfz does support keyswitching, so you can have multiple instruments in the same file. While this won't get you a full GM-compatible set (you lose a note each time you add a switch), it's very handy and the switch seems more or less instantaneous.
If you want to see how it works, have a look at the keyswitched files here