Through the Firefox YSlow plugin (it depends on having Firebug too) I came to this page:
link
. It's 2007, it may have changed quite a bit since the publication, but it presents a study exactly what it asked.
In summary:
Part of the principle that increasing the number of domains should improve the time to load all the requested elements, because the HTTP / 1.1 specification suggests that browsers should download two components in parallel per hostname (pointed out by Henry above). This limit can be changed via configuration in both IE and Firefox (there is no information from others), but whoever messes with the server will not configure any client browser, and the configuration mode is not very user-friendly.
But his test results were not exactly as expected. It has two tests, 20 images each, one being small and one medium. Both had improvement in the increase of 1 to 2 hosts, but the one of small images did not have significant impact to increase more the number of hosts and the one of average images had negative impact! Being that with 3 hosts already it was worse than with 1 host. At the end he comes to the conclusion that the best should be 2 to 4 hosts.
The CDN that Vinicius cited helped a lot as well, trying to narrow the gap between the client's browser and the source of the requested content.
Another reason to put more hosts would be to have hostname (s) with dynamic content and other (s) with static content, using content expiration header to be cached, but this can be done on a single hostname by configuration medium with the apache module mod_expires for example.
If the intention is to know what to improve on a page to make it faster or easier, Firefox with Firebug and YSlow can help a lot, I do not know a similar tool in other browsers, but there should be. >
If you have resources available for testing, Safari (at least on OS X) has a very good feature of timing the time it takes to load a page indicating each action. I'm not sure, but I think I've seen this in Chrome on Windows too.