Here's one reason not to have separate MySQL logins for each user: persistent database connections. Using mod_perl or FastCGI, you can improve performance of an application by keeping persistent connections to the database server. If you only have one database login, you only need one connection per process. If you have multiple logins, you need one connection per login per process. That can add up fast and swamp your database.
Make the right architectural choice now and you will save yorself a lot of hassle later on.