With all of these new fandangle self service Business Intelligence tools hanging off Sharepoint now, you may want to protect the precious box against unintentionally melicious drag and drop power moves. Sharepoint and SQL Server on the same box is an easy equation and easy to install, however if things start to bog down and you have other web applications running on the same box, you may want to set a limit on the Physical Memory Limit (Kb) property.
Open IIS, go to the default Sharepoint application pool, select Advanced Settings and enter a value for the Physical Memory Limit (Kb). The best reference I could find on an easy approach is outlined here …
There is also a really good run down on each of the Application Pools outlined here – thanks Joel! http://blogs.msdn.com/b/joelo/archive/2007/10/29/sharepoint-app-pool-settings.aspx
Of course you can also cap the memory that SQL Server uses and/or use the SQL Server Resource Governor to stop processes running away with your server’s resources.
Failing this, you could get a business case together and go for a distributed architecture.