The main reasons for booking your tickets together are that there are occasionally discounted "through-tickets" that are the same price or cheaper than purchasing separate fares.
For example, "French Connection" fares to popular French cities combine the Eurostar and the TGV into one ticket. They can be purchased three months in advance, as opposed to 180 days (Eurostar).
Furthermore, a few European train operators offer a discount for return tickets. However, with most European trains the cost of a return ticket is twice the one-way fare.