"Can you run one mysqldump command to output EACH database into their own file?? "
no, you'll have to run the mysqldump command seperately for each database (something you want to do anyway. If one command backed up all databases, then if mysqldump died during the backup of the second database, the third etc would not get backed up)
The ultimate dump script?
Just a mysqldump to a file, then a gzip on that file, and a command to send a copy of the backup to a different server for safe-keeping, nothing fancy...
Ofcourse the dump you get must be a restorable one. Backup up individual tables will get you nowhere, the entire database has to be restored at once (otherwise you get all kinds of interesting consistency errors)
A forum, a FAQ, email notification, what else do you need?