I have multiple tables that data can be queried from with joins.

In regards to database performance:

Should I run multiple selects from multiple tables for the required data? 

or

Should I write 1 select that uses a bunch of Joins to select the required data from all the tables at once?

EDIT:

The where clause I will be using for the select contains Indexed fields of the tables. It sounds like because of this, it will be faster to use 1 select statement with many joins. I will however still test the performance difference between the 2.

Thanks for all the great answers.