I've tried both ways. First, I had them all in individual databases. Then I condensed them into one.
When it came time to move from my old host to DreamHost, I was faced with this massive database to deal with. Fortunately, ssh helped a ton, but if I didn't have it, it would have sucked big time.
When I moved over, I decided to use separate databases for applications. Another benefit to having them separate is that I can specify the backup frequency differently for each application's database depending on usage.
In the end it depends on your needs and what you see for your site in the long run. Also, if you want your apps to share data, you need to check that multiple dbs are supported. That was the reason I consolidated in the first place. Now, the apps can share user data without having to be in the same database.