I could be mistaken, but I think most media players will grab JPG files stored in the same folder as the movie to use as a folder image or fanart. This argues for a separate folder per movie.
If you use the built-in XBMC scrapers, then you can export the library metadata, posters, and fanart to the individual folders. If you use an external media manager, such as MCM or EmberMedia, they will create those files directly in the folder automatically. Each approach has its pros and cons, but either way, you want the movies in individual folders.