We're spread out at lots of firms, but I wouldn't recommend it. For us, it's advantageous because we are US citizens living in Canada as permanent residents. Thus, not all brokerages will do business with us for all types of accounts. Plus, these rules can change at any time, and thus I like having a foot in several doors, just in case we need to shift stuff around. If I were a US resident, though, I'd keep it as simple as possible and just pick one.
That said, if it really is possible to get bonuses in the $10K+ per year range, I could see playing that game.