Too many variables to answer this question with a yes or a no. It depends on the database engine, your database structure, and your query.
In my experiences with MySQL, I've found a handful of simple queries beat a monster join query. But in MS SQL, if you tweaked the query and tables, one query would be a lot faster than several little queries.
Your mileage will vary. If performance is a serious issue, then test both approaches with your application and determine which works best for you.