I agree with Daniel Earwicker - the security question is pretty much flawed.
If you have a single box setup with a webserver and only the database for that webserver on it, if that webserver is compromised you lose both the webserver and only the database for that specific application.
This is exactly the same as what happens if you lose the webserver on a 2-server setup. You lose the web server, and just the database for that specific application.
The argument that 'the rest of the DB server's integrity is maintained' where you have a 2-server setup is irrelevant, because in the first scenario, every other database server relating to every other application (if there are any) remain unaffected as well - being, as they are, hosted elsewhere.
Similarly, to the question posed by Kev 'what about all the other databases residing on the DB server? All you've lost is one database.'
- if you were hosting an application and database on one server, you would only host databases on that server which related to that application. Therefore, you would not lose any additional databases in a single server setup when compared to a multiple server setup.
By contrast, in a 2 server setup, where the attacker had access to the Web Server, and by proxy, limited rights (in the best case scenario) to the database server, they could put the databases of every other application at risk by carrying out slow, memory intensive queries or maximising the available storage space on the database server. By separating the applications out into their own concerns, very much like virtualisation, you also isolate them for security purposes in a positive way.