Most people use separate files for different plugins. The HTTP protocol takes care of making the requests together and it is sufficient for most sites.
If you want to combine ALL your scripts and use them ALL together in EVERY page, you can. If some pages get different mixes of the scripts, the benefit of HTTP caching is lost.
With any script/file, you can have your server zip those files and let the client quickly unzip them. How you do it depends on your server and it's configuration. Use a search engine to determine how to zip your files on your server.
As far as breaking up jQuery, it is almost never worth it. There have been projects that do just that, but as soon as you want to use a bit more of jQuery goodness, you have to make changes.
Serving zipped files and reusing the cached copies is the best way to speed up your sites.
JΛ̊KE