I would say "better one big thatn many small" but that depends on hardware, os, how code is written, what the database contains...
Also have in mind that making 20 queries, also tells php to connect, fetch and close the connection to the database 20 times.
Homework:
Make one page displaying the time (microseconds) at the top, loop 10 big queries (without output), and display the time again at the bottom.
Then do the same on another page, but loop many smaller queries matching the same result as the big on.
Then let us know what you come up with.

Interesting subject.