This is a very subjective topic but is also becoming a much larger trend. Some prefer
single page web sites (mobile apps). The wiki article here does a great job discussing the problem that single page apps solve.
Specifically in JQM, the transitions from one page to the next are much smoother when the data is on the same page. This affect can also be achieved if you prefetch commonly used pages by adding the
data-prefetch attribute to your link.
However it may depend largely on the size of your project. The jQuery Mobile documentation touches on some of the performance issues of
large DOMs here.