Re: Convenient, reliable, & maybe cheap too.
The main advantage of one account is that all of the records come from that one account. You can open accounts with multiple companies and possibly save some money on transaction fees, but your record-keeping expands with each new account. A FundAlarm poster (Fundaholic) at one point owned over sixty mutual funds, but he probably has them consolidated with one or two brokerages. Otherwise I'd hate to be his mail carrier.
Another convenience is portability. If you use Scottrade to hold your Roth, and you tire of your Vanguard fund in that Roth, then you just sell the fund and buy another fund (or stock or bond or whatever) from Scottrade. No rollovers, no transfers, no delays, maybe a small brokerage fee, and probably very few hassles. Doing the same from Vanguard to another fund company would take, at a minimum, several weeks. The Vanguard Diehards board lists horror stories that have dragged on for months and still haven't been corrected.
To some extent you're putting a lot of eggs into one basket. You never know when you're going to see exclusive CNBC coverage of your brokerage's executive staff partying in Costa Rica with what used to be your IRA. OTOH the larger firms have a track record and have learned that they can make more money robbing charging maintenance fees for decades than by taking it all at once (thus killing the golden goose).
Of all the firms I've surveyed, Scottrade seems to have the best combination of fees & service. Vanguard has the cheapest index funds but their explosive growth has killed their service. If you don't need service, maybe Vanguard is still for you. Schwab used to be the Scottrade of the '70s & '80s but in the last few years seems to have wandered off the righteous path. They've been ruthlessly nickel & diming even their six-figure customers.
Somehow we never ended up with Scottrade or Vanguard. We began with Fidelity in the early '80s and expanded to Evergreen, Heartland, & Tweedy, Browne but have been consolidating with Fidelity. Their website is now very robust & fast and their trade execution has been outstanding. Putting a lot of your eggs with one firm tends to not only reduce the paperwork but also to reduce or eliminate the nuisance fees like IRA maintenance charges. Fidelity's brokerage fees are higher ($14.95-$20) than Scottrade but we don't pay IRA maintenance fees and we get free electronic billpaying. The billpaying itself is worth a half-dozen trades a year, and every year or so they kick in a few free trades in conjunction with some other offer. I can't remember the last time Fidelity made a mistake with my account, and they've graciously corrected a few of mine.
If you deposit $1M with Fidelity or trade like a hyperactive jackrabbit (I believe 120 trades/year?) you'll be eligible for $8 trades and specialized trading software. That may be aimed straight at Scottrade's customers...