I tend to use one for all the water-related HMs and one for the obstacle-clearing sort of ones. Lessee.... I think I had Surf, Dive, Waterfall, and Flash on my Psyduck, and then Strength, Cut, Rock Smash, and Dig on Zigzagoon. I have Fly on my first Tropius, cause I figure he's not EV trained and doesn't stand a chance in any sort of competition anyway. And those bannanas on his chin could make a nice in-flight snack ^_^
I would say definitely always have surf and dive on the same one. Because it's really annoying to get out in the middle of the ocean and then realize you left your diver back at the pokecenter.