Deploying separate JavaScript files and having the user's browser stitch them together is like deploying separate object files and having the user's loader link them into an executable.
If there is a strong liklihood that the user's browser already has one, but not all, of your JavaScript component scripts cached, then it can make sense for you to present them individually. If you are using popular Google- or Yahoo-served JavaScript library components that your user probably has loaded during visits to other sites, then presenting those components separately will save the user time and bandwidth.
If the scripts are all unique to your website and you deploy them all on multiple pages, then it is better to combine and minify them as part of your build process, just as desktop applications combine object and library files as part of their build process.