Swanosaurus
Adventurer
I'd say this depends a lot on the rules and the setting. There are rules that would make little sense without the setting attached. I don't want a "rules book" and a "setting book" for The One Ring, for example, because the rules are tied to Middle-Earth, anyway. Also, there are a lot of minimalist rule-sets where 20 pages of rules are tweaked to fit a setting, and most of the core book is setting anyway. Not including the rules in such a book, or just the rules changes for that specific setting, would make little sense, because it wouldn't lower the page count significantly, and you'd have to puzzle the core rules and the setting-specific changes together instead of having everything in one place. The Year Zero Engine is another case in point: It has so many tweaks for each new RPG, publishing a "core book" and doing the rest as setting only books would mean you'd have tons of changes to the core rules in every setting book.It would be nice if the lore of a game was in a separate book from the rules.
I think generally, I prefer "all in one book" but I also prefer light systems. I even like of having an introductory adventure in the core book, because typically, it shows you a lot about the idea the authors have of their game.