That depends entirely on the pricing structure of your chosen host.
I prefer to have each domain on its own account either with an independent host or on my own servers.
If you mess one domain up you don't automatically mess the other that lives in the same space, or if one account goes down because of hosting problems the other may remain online if your host has it on a different server or where you use two different hosts.
There are ways of mapping DNS to resolve a domain to a subweb in another domain's account, or to point multiple domain names to one set of files on one account, but I try to stay away from this approach where possible.
You can get individually hosted accounts for next to nothing these days:
harristweed, another forum member mentioned this company in a separate thread: click here