No, not in most instances multi-effect pedals are not better.
Thank about it most multi effect pedals are copying other pedals anyway.
Multi effect pedals need programing, require you to learn software, often start out with extreme sound settings to show you what the "could" do and don't give you the routing options of individual pedals.
I do own 2 multi effect units a boss Me-20 and an ME-33, but I have 40 individual pedals that I swap in and out of my setup, if I don't like an individual pedal I can sell it and try another, if I don't like the distortion on a multi effect you are just stuck with it.
If you do go the multi route make sure you know what you want, most have extra features like amp modelers that are useless if you already love your amp tone.
In general a good pedal board setup is easier to create, repair, fix and adjust to your own personal tastes.
The cool thing now is that it is a great time to be buying pedals, there are more small pedal shops than have ever existed and the range of products is amazing.
Also: as an FYI don't go all over trying to track down true bypass pedals, some are good but a full chain of them will really kill your high end, buffers aren't always bad.
And if you want advice and suggestions or to see pictures of my current three pedal board setup just shoot me an e-mail.