It's all a matter of personal preference, and how you feel. I remember when I first started knitting, I thought I had to finish one project before starting another--and then discovered that's not what most people do.
I usually have 2-3 going at once--a portable one, a mindless one, and a challenging one, usually. But at any point where I feel I'm juggling too much and not getting anything done, I'll just pick up one and work till I'm finished before moving on.
So for me, it's sort of a cycle. Look through patterns, find 2-3, cast them all on over a period of a week or two, cycle through them as I feel like it, add another one or two...get frustrated, and start finishing them up...and then start the cycle again.