single effects are going to sound much better. but do you have the money to spend on so many individual single effects? I'm more of a guitar-to-amp person, so i don't use effects. I have a multi-fx that I use for convenience and light effects for my gigs. I've been through the whole pedal board phase, had BOSS, Electro-Harmonix, Jim Dunlop, Ernie Ball pedals, but I don't play with effects much, so they're not my upmost priority. So its quality vs quantity. single effects give u quality, but multi-fx gives u quantity. For the price I paid for my Zoom Multi-fx, haha, i'm happy with how it sounds.
P.S. There ARE very good multi-fx units around, like Digitech GNX series, Zoom GFX, BOSS GT series. But the best multi-fx unit i tried is the Roland VGA series. expensive though.