One at a time. It's hard enough as it is to keep all the non-critical events in your mind the way your memories of real life are. I'd never cope with keeping track of the memories of all the characters in two or more books at the same time. Besides, I want to know what happens next in the story I'm writing.
Having said that, I got the idea for my third book quite early on in the writing of my second, and suddenly had an idea for the critical event which starts the story, so I took time off to write the first two chapters, which handle that critical event. Not necessarily a bad idea as I like the idea of putting three chapters of the next book at the end of the previous one as a kind of advertisement. However, events are dangerously near to catching up with me, and the subject of the third book is now being discussed in the newspapers here, so the whole question may have been resolved under the year or so it takes me to write a book, and I'm wondering whether to continue with it.