Why is it not advisable to have the database and web server on the same machine?

Question

Listening to Scott Hanselman\'s interview with the Stack Overflow team (part 1 and 2), he was adamant that the SQL server and application server should be on separate machin

Answer 1

I would think the big factor would be performance. Both the web server/app code and SQL Server would cache commonly requested data in memory and you're killing your cache performance by running them in the same memory space.