In an ideal world I'd play a single character, since I have a "method actor" style. If I need to play two characters though, I don't have a problem with it, in the same way I don't have a problem role-playing multiple NPCs at once. Of course, the more you have going on at once the lower the quality gets, but two isn't a big deal for me personally.
But playing multiple characters at once and improv are talents of mine that everyone doesn't share. In general, what I've observed is that most people forget about one character or another--especially in the role-playing department.
Hmm...that's an interesting thought that just occurred to me. Should we look at playing role-playing games as a skill?* People have varying degrees of talent and can improve through experience and practicing techniques?
I've never thought of that in those direct terms (and now that I have, I realize I'm on the slow side, because most/many of the rest of you have already made that connection long ago), but now that I do it's kind of making me want to set up "role-playing lessons" for new gamers.
*I'm not talking about char op, I'm talking about all of the other elements that combine to make the general experience.