It depends.
If I was making a single server that was important, I would certainly create as many virtual disks as necessary. For instance at work our servers have an OS VHD and a Data VHD - and our database servers have extra on top of that. So if one breaks or needs to be migrated, we can just take the single VHD and attach it to another VM.
On my desktop I have multiple SSDs so they're all separate volumes. Usually I just spread games and other crap across them. For myself, I don't really bother with the whole "this is for OS, this is for data" because it can be just as hard to maintain and track. The only distinction is "This SSD is faster, so I'll keep [this game I want to launch quicker] on it", or "This program is excessively big, I'll store that on another drive".
You could screw around with is ZFS and LVMs and just make all your drives a single volume.