It depends, for short stories, which should be read in chronological order, or with very close theme/character connection, I'd prefer omnibus.
For longer works, individual books would be better.
It was natural for me to put Carroll's "Sylvie and Bruno" two parts in a single book, or the two parts of "Martín Fierro". With Alice's books, I doubted, but finally decided on separate books because I wanted to keep the often-forgotten idea that they're two books and not one. The d'Artagnan books are too long to be included in a single book, so are the Forsyte Chronicles... but the Conan stories are short and were already collected by another user, so I could make an omnibus.
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