If you're not caching your scripts, everything in a single file means less disk I/O, and since generally, disk I/O is an expensive operation, this probably can be a significant benefit.
The thing is, by the time you're getting enough traffic for this to matter, you're probably better off going with caching anyway. I suppose it might make some limited sense, though, in special cases where you're stuck on a shared hosting environment where bandwidth isn't an issue.
Maintenance and security: composing software out of small integral pieces of code a programmer can fit inside their head (and a computer can manage neatly in memory) is almost always a better idea than a huge ol' file. Though if you wanted to make it hell for other devs to tinker with your code, the huge ol' file might serve well enough as part of an obfuscation scheme. ;)
If for some reason you were using the single-file approach to try and squeeze out extra disk I/O, then what you'd want to do is create a build process, where you did your actual development work in a series of broken-out discrete files, and issued make
or ant
like command to generate your single file.