Yes, I've got a safe deposit box account, one account for cash, one account mainly for bonds, one account mainly for stocks and warrants, and an account for futures. Each one at the best suitable broker/bank for the purpose. Maybe I should think about splitting that stocks and warrants account.
The ramifications are.... your platform starts freezing, executing cancelled orders, withdrawals take longer to get to you... and so on!
I like the idea of trading multiple accounts simultaneously. In fact I am pursuing doing exactly that trading the same contract for three separate accounts through J-Trader. I have yet to find a front end other than J-trader that can do this for separate brokers though (economically). Although I am not doing it for the sizing aspect I most certainly agree that it may have some benefits psychologically.