The advantages of a single file are compactness and portability. Users can perform searches using their own text editors on the whole document, create their own concordances for key words and terms, find passages, etc. The main disadvantages of a single file are size and unwieldiness. Many browsers will simply refuse to load documents beyond a certain length. It is extremely frustrating to wait several minutes for a document to load only to get half or three quarters of it.
Longer documents take longer to scroll through and to access key parts.
The general consensus is that anything over 30-50k could be problematic. Of course, this convention is violated all the time. For some texts, it will be impossible not to violate these constraints. The advantages of multiple files are compactness and economy. This is especially useful if the document is going to be used more for research than for general reading.