There's lots of games out there that are playable with a single book. Box sets are rarer these days, I'm guessing that's due to some combination of economics and consumer preference. As to which I prefer, it differs from game to game. Part of D&D's appeal is that there are zillions of spells, zillions of critters, and zillions of classes/feats/etc., so I don't mind that the rules span several books. Other games pitch themselves as generic rulesets with specific sourcebooks for each genre, and again I don't mind that if they're done well. I also don't mind if a game built around a simple, strong theme is complete in one volume. Or if some generic rulesets (Fudge is a good example) pack a bunch of stuff in one rulebook and let you go from there.
The multi-book approach is better for the publishers, of course, since it helps to create an ongoing revenue stream. Lots of lines that work fine as one-book games (like Feng Shui or Call of Cthulhu) also have a bunch of add-ons available for purchase. Some folks actually get turned off of games simply because there's nothing being published for it, which is an attitude that I find a little odd but no doubt fuels the trend towards big libraries of supplements.