When it comes to long-haul flights, it’s typically cheaper to lump them together on one itinerary instead of buying one-way flights. However, once you’ve reached the region you want to explore, it can be cheaper to buy the short-haul flights one by one.
The reason is because all the flights in a single itinerary need to be on the same airlines or between airlines that have a partnership. However, the cheapest intra-Europe flights, for example, are usually on Ryanair or easyJet which don't have partnerships with airlines like Delta British Airways. And sometimes, it may actually be cheaper to take a train between European cities rather than fly, an option not available to you if you try including the B-C connection in your single itinerary.
For example, if you want to fly from San Francisco to Dublin, hop to Paris, scoot to Athens, and then fly home from Berlin, your best best may be to book a multi-city flight from San Francisco to Dublin, and Berlin to San Francisco on one ticket, and then buy one-ways for the shorter flights within Europe.
On the other hand, if you plan to cross several regions—for example, flying from San Francisco to Hong Kong to London to San Francisco, it may be cheaper to book it all on one ticket.
Of course, while this is true most of the time, it isn’t always. For example on ANA or TAP Air Portugal, it's often cheaper to include all segments. A bit of guess-and-check is helpful here rather than assuming.