...Multi-piece all the way. (If their done right, that is the time is taken to make sure everything not only fits together nicely but also will all look good when those parts are all put together). It needs to happen with Warzone figs ...imagine muti-pose Karnophages, undead Legionnaires,ect. The Tekron Warmaster has alot of parts but it all pays off with the posability you can get and is a great example.
If your interested in trying, (and don't be put off by thinking it's only something sculptors are capable of using), is getting hold of some Knead-a-tight (blue/green) and use that to secure all your multi-pieces. It may sound like a bad idea but I can tell you it works better than anything I've tried...the reason is after it's mixed it becomes very tacky and great for adhering pieces together. Also, once cured it is abit flexible so it takes any "shock" damage alot better than if the pieces were secured with crazyglue. Also you have a good hour or so before it sets so you can have plenty of time to tweak/ reposition a pose. You can also use it to fill in any gaps or seams between parts after it's cured. This is a great way to eventually get into customising a mini by adding your own things to it. Then take it further and get some armitures and get to sculpting a piece from the ground up.