Generally one at a time, but when I got Chains of Olympus on PSP, I was playing that alongside Prince of Persia on PS3.
Often, I get fed up with a game and switch to another, only to switch back a while later. A prime example is when I was playing LBP, didn't really like it to start with, started playing Far Cry 2, hated it, went back to LBP, love it.