I believe a lot of people split tickets these days, but I suspect that if you miss one of the trains due to a previous one being late/the underground being screwed, they wouldn't have to let you on a later train (if you have reserved seats), whereas if you book it straight through they do. I suspect a lot of journeys will be cheaper though, especially for me as I have an Oyster card through work, so I always tend to book from the train terminal rather than where I start off.