Common but relevant answer:

It depends on the project.

If you have a fairly limited website where most of the functionality is re-used across multiple sections of the site, it makes sense to put all your script into one file.

In several large web projects I've worked on, however, it has made more sense to put the common site-wide functionality into a single file and put the more section-specific functionality into their own files. (We're talking large script files here, for the behavior of several distinct web apps, all served under the same domain.)

The benefit to splitting up the script into separate files, is that you don't have to serve users unnecessary content and bandwidth that they aren't using. (For example, if they never visit "App A" on the website, they will never need the 100K of script for the "App A" section. But they would need the common site-wide functionality.)

The benefit to keeping the script under one file is simplicity. Fewer hits on the server. Fewer downloads for the user.

As usual, though, YMMV. There's no hard-and-fast rule. Do what makes most sense for your users based on their usage, and based on your project's structure.