I'm currently living outside The United Networks of America, so my time online is expensive and/or inconvenient. I tend not to web surf much. Instead I mostly hit a few collections of content that I know are good, pull down what I think I might want to read, and read it all later when I'm offline.
That model works well with blogs. I skim the content, hit every link that looks like it might be interesting, and move on. Later I'll go back and actually read the blog, and maybe read the things they linked to. It also works well with news sites like the New York Times or the San Jose Mercury News, where I can just skim the headlines, grab the articles that look interesting, and read them all later.
But it doesn't work well with Salon, Wired, or any other content site that spreads their articles over a few pages. If I notice right away, or if I expect it (as I do with those particular sites) and if I remember, I'll run throguh all the "next page" links so I have them for later. But there are plenty of sites I'm not familiar with, and many that split up their articles only put links to the next parts at the bottom of the page, making it that much harder to notice.
So later, I read the first page, get interested, reach the bottom, and find out that I can't finish the article until I go online again and fetch the rest. I can't think of anything more disruptive.
I can think of a few reasons to split the articles onto a few pages. This way people can have a pleasant and familiar page-turning experience and see more ads at tops of screens, and the publisher can find out how many people bother to pull down the second half of the article, which could be great feedback.
But it's really annoying for me. Wah.