I think there are genuine cases where you have an issue that consists of more than one question where you have a sequence of things to do and you need help along the way.
I think it's more important to focus on the issue than the number of question marks.
One issue per thread but as many embedded sub-questions as makes sense.
I can't think of a good hypothetical question today but I have a real example on StackOverflow: How best to convince people to upgrade IE? This is an umbrella question with several little related questions. Some people answered the main question, some people answered the sub-questions. The end result was a large block of answers that collectively impart a lot of information.
I think my sub-questions there don't derail the main question at all. They all help to concrete the scope of the issue and they also help people answer in directions that I wanted.
Picking one best answer wasn't tough. There was one answer that proved the most useful to me but lots of answers that I voted up. That's kind of the point of voting. It makes sure that all the helpful answers get to the top.
There is of course a limit to all this and that pulls me back to one issue. As soon as a sub-question becomes something else completely, there's no sense in it being part of the first thread.
It's not black, moderators have to keep on top of it... But I think it's a lot healthier than forcing people (or making them feel forced) to split up perfectly related questions when they're just trying to resolve a single problem.