Well that depends... everything is relative, especially car modifications. If you can afford it is the first key to all this. If yes, then of course replace all at once with quality components.
If you're clutch needs replacing, then a new tob, pilot bearing, rear main seal, clutch fork, and cable are all suggested. This is because if the clutch itself has gone, then more than likely everything else is worn as well. However, if only the tob is gone, the clutch itself may have life still. In this case replacing only the tob will suffice, as getting to the pilot bearing & rear seal & flywheel all require the clutch being removed. Always have the flywheel resurfaced if not replaced when installing a new clutch.
People say to do it all at once because its just easier that way, plain and simple. A clutch isn't a small job, so if you're going that far into things you might as well replace it all to not have to go back in sooner rather than later. Likewise if you're having someone else install it, its cheaper to have them go at it one time rather than multiple.
Finally, in my opinion, since I enjoy modding my car and it has relatively high miles, I have replaced most everything that goes out with aftermarket performance parts rather than stock. This kills 2 birds with one stone. If you'd like performance parts and say your clutch goes out, spend the lil extra dough since you have to spend something anyway and go performance. If you're staying a run of the mil street car with a little giddy up, then it might not always be necessary. This is why I say its relative, because it depends on your goals for the car, most everyone differs in the total package that they desire.