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

An additional concern is that databases like to take up all the available memory and hold it in reserve for when it wants to use it. You can force it to limit the memory but this can considerably slow data access.