Is it better to take only a small number of mods and merge objects from them to get specific results, or to merge objects for *everything* and be done with it?
It depends on what mods you are using and the size of your load order. Merging objects can potentially give you some undesirable results. I happen to have a load order that results in close to 3000 saved merges and a good amount of undesirables are in there. Grouping my mods into separate merges was too much of a hassle for my tastes and easily results in wanted merges being left out. I found the best way to get around any unwanted merges is to make an "after merged objects" patch by going through the log, targeting them, fixing them with something like Enchanted Editor and adding them to the patch. Now, for the most part I just have to run merged objects once, when adding or removing the occasional mod, my patch(es) take care of the rest and I never run into annoying results while playing.
Anytime I add a new mod I run a requisite "single versus" scan against my load order with TESPCD which tells me how it will fit into everything. Also, if you have a large merged objects file, Notepad's search function (or whatever program you use) is particularly helpful for quickly finding the new mod's entries for review in TESTool's log.
If you don't mind running into obnoxious results in game, or would just rather deal with them as they show up, then the above method might seem like too much initial work. Its a matter of preference.
Edit: I would take the "Mods That Should Not Be Merged" section of that wiki link with a grain of salt. Its pretty dated and seems to mention cleaning and merging as if they were the same thing. And for instance it recommends excluding balancing mods when in actuality there is often good reason to include balancing mods in merged objects.