I prefer multipiece figures. Multipiece figures are more three-dimensional and easier to convert which can add variety to armies. Swapable heads or hats are great too (i.e. SYW Prussian Infantry convention). Sometimes multipiece is necessary to get realistic looking pose. I think one of the best sets HAT ever made is Napoleonic Prussian Infantry in Action.
I agree with Matt. Although it can sometimes be a pain to glue parts together, at least in this scale it is easier to do, and it gives that variety which enhances the look of the figures. If you have swappable heads, you can put them at various angles to give that feeling of movement to the figures.
There are advantages to multiple pieces on figures that will give us superior figures without undercuts and I see those. At the same time, as I've said many, many times before, if I wanted to assemble many pieces and parts I'd still be modeling. I like to get my guys off the sprues and "in action" as soon as possible - painting even takes some of that joy for my part.
But if a separate arm or two, or spare head is necessary please make sure it is well-engineered - I know there are glues and epoxies that work pretty good on plastics these days, but there is nothing more frustrating to me than to spend hours putting together figures (and one can do that if one buys in bulk - as many of us do) - gluing them, just to have to put them back together again the next time you get them out.
So I guess, my opinion is keep parts at a minimum.
It depends on plastic used. For example Napoleonic Russians are made of horrible plastic (or maybe its just mine sets) and are very hard to assemble because of this plastic quality. On the other side SYW Prussians and Napoleonic Prussians are made of well quality plastic and you can even put them together without using glue. I think best solution is to use good quality plastic which makes possible making nice looking figures that are easy to assemble.