I believe that it is generally a good thing that all the PCs travel together, as a "party". This way the GM has to manage one environment – not, say, five. The problem is how the GM can ensure such a relationship between the characters.
One simple and really great solution is to require the players to design their characters so that they know each other. This has the added advantage of cross-backstories – as the players try to adjust their stories to fit together, they get and create hooks for more narrative!
However, I am now experimenting with giving the players complete freedom at character creation and later meeting in-game. No luck so far.
It is not easy, as trusting someone with your life (what happens during combat) is not a trivial thing. Furthermore, people generally like others with the same behaviour/interests/skin colour. Fantasy is all about diversity – you do not character-generate a strong man with a sword, no, you generate a half-ogre with an axe never before seen!
How can the GM get players, with diverse characters who are strangers to each other, decide to have their PCs act as a coherent group. I absolutely want to avoid asking my players to just solve this through metagaming ("Hey Joe, think of a way to get together with those, I can't story-tell two separate groups at the same time!").
I'm not having the stereotypical problem where a bunch of PCs meet for the first time and are automatically so paranoid of strangers that they start trying to kill each other. My players have just created a bunch of characters who have their own legitimate interests, and are faithfully following those in completely different directions that don't result in a classic "party". I put the PCs in great peril together and everyone escaped by their own devices, but now I have to figure out get the guy who ran for the hills back together with the couple that entered the city. And, I want to do it by resorting only to reasonable in-game events, not out-of-game metagame suggestions.