Multiple panels are much better. One of the main reasons for using UpdatePanels at all is to reduce the traffic and to only send the pieces that you need back and forth across the wire. By only using one update panel, you’re pretty much doing a full post back every time, you’re just using a little Javascript to update the page without a flicker.
If there are pieces of the page that need to be updated together, there are ways to trigger other panels to update when one does.. but you should definitely be using multiple update panels.