One big file or two files: one small and one big.
To be clear, during the development it's good have separate files – maybe using something like requireJS. But when you deploy it, it's good compress everything in one file, in order to reduce the HTTP latency and requests.
I mentioned two files. In some cases, it could be good having one small file, that takes care of the "bootstrap" operations, meanwhile the "big file" – especially if it's really big – is downloaded.
This is useful especially for the first access, because users doesn't have your files cached yet.