Not sure how everyone else does it, but in our game you can only prestige to a single class...I believe there has been some discussion from both the Sage and Monte on this...
Personally, I like the idea of being limited to a single prestige class. It fits with the "specialization" that should come with being part of a prestige organization. Prestige classes aren't just classes...they're a way of life! :->
I actually don't have a problem with having more than 1 prestige class, as long as the PC has advanced all the way through their first prestige class prior to starting another...
Them's my thoughts...