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 listened to that podcast, and it was amusing, but the security argument made no sense to me. If you've compromised server A, and that server can access data on server B, then you instantly have access to the data on server B.