CCP's Kjartan Emilsson wrote an article for Gamasutra explaining why most MMOs choose to separate their population onto several severs. The main problem, Emilsson said, was the issue of avatar density. Too many players in too small of a space creates a miserable experience for all involved. So either the game has to put limits on how many avatars can be in an area, or create a playing field that is so large as to render this issue null.
Emilsson went on to argue the case for single-server games that create a united society instead of a fractured one. He detailed the setup of EVE's server architecture, which is held together by a single database at its nucleus and has been steadily growing and improving over time. If you love to read the nuts-and-bolts of the underlying technology that makes games like EVE run, then do yourself a favor and give this article your time.