In my mind Rayn and Arum live in the same Cyrodiil, but Skarsgard lives in a different one. It takes some imagination obviously, as when they 'meet' they aren't really meeting at all, but their locations are in the same place. I think it was helped by the fact Rayn and Arum had different interests. He was arena, fighters guild, dabbled with dark brotherhood. She was mages guild.
It can be a pain in the backside sometimes to have characters live in the same world, therefore I have to keep track of who has done what quests. But it's a challenge I relish, and it gives a fresh angle on their stories.
How about the rest of you? If you only have one character, would they share a world with a secondary character, or are they two different 'worlds'?