I typically setup boxes for my own personal use similar to what Danny describes. I'll have a master that go anywhere and do anything. Then individual logins per domain.
In some cases now, especially with blogs, I tend to group them by who is working on them. If I have one person dealing with a dozen sites, I'll give them one login that gives them access to that dozen sites and nothing else.
I have been known to get very creative with the use of symbolic links when needed.
I tend to do most of my own SA work, but of the hosts I've worked with, each usually has their own preference as to how they set things up. But I've never seen one resist doing it either way if specifically requested.