You probably heard about the "this virtual disk needs repair" problem that occurs every now and then.
The chance that a one piece vmdk can not be repaired is high.
With a split disk you may only lose a single piece - with a monolithic disk you get a complete loss.
Adding to what Andre already mentioned I highly recommend to use split disks.
Only advantage of monolithic vmdks is that they look nicer in a directory listing - but as soon as you have to repair it, this advantage evaporates into thin air.