DD1 and DD2, now 12 and 10 both had the MMR without any problems, and I would probably have given MMR to DS 16 months, had (new) MIL not been very against it. She used to be a pharmacist and had read quite a lot about it and SIL had gone the single route for her 2 children a few years ago. Anyway after she expressed her concerns I looked into it a bit more, and decided that we would go for the singles jab for DS. There is some evidence (somewhere!) that side effects are more prevalent in boys and children of older mothers - both of which applied this time round.
As we could afford it, it made sense for us. DS had the measles jab first - and I have to say he was quite ill a week after the jab, with a high temperature and very grumpy - which passed after 2 days, which was very consistent with a minor reaction to the immunisation. So I was very glad I'd not subjected him to Rubella and Mumps simultaneously.
He will have Rubella next and then Mumps as they recommend ideally 6 months gap between the measles and mumps immunisations. Rubella doesn't really affect boys although he will still have it done, as it's important for herd immunity. Mumps is also not a major problem until boys reach puberty - so being not immunised for a few months isn't a major problem. Measles is the most important one to get done early.
All immunisations have side effects, and I think the government takes an overall look at the risk, and decides that MMR for the population as a whole is less risky than the single immunisations, as if single immunisations were standard then many people simply wouldn't bother with rubella and mumps, and the overall immunity would be reduced. However as an individual who will definitely immunise DS against all 3, I think either choice is valid, and personally I feel more comfortable with single immunisations for DS.