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It depends upon the situation. Some games won't allow you to do this. Certainly as a game master, I like to involve numerous characters with meaningful relationships as often as possible. As a player ... I lean more toward trying to form interesting relationships with other players.
Don't get me wrong - having players control NPCs can help to push along or create many good stories. The problem that often arises from such situations is that a player will become too self-contained, crafting stories that revolve entirely around his player and his NPCs. Many eventually hit a point where they are simply writing stories that others can read, rather than participating in interactive roleplaying. Unless it is done just right, these stories become immensely interesting to the player writing them and immensely pointless to everyone else.
The most enjoyable roleplay that I've ever been involved in always involved other characters who my player has built up a complex history with. At one point, another player and I decided to make our long-standing characters half-siblings, which really opened up a lot of interesting scenes. There's just something more interesting about the give and take between two players that tends to lead me away from controlling more than one character at a time.
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