It depends on your application. While memcached is very fast, it does require some request transmission and memory lookup time per request. Those numbers increase depending on whether or not the server is on the local machine (localhost), on the local network, or across a wide area. The size of your cache generally doesn't affect the lookup speed.
So, if your application is using MANY objects per processing unit (per request, method, or what-have-you), then it's generally better to define your cache in a way which lowers total number of hits to the cache while at the same time trying not to duplicate cache data. Like everything else, it's a balance.
i.e. If you have a web request which pulls a list of blog posts, it would be more beneficial to cache the entire object list as one memcached key, rather than (and this is a somewhat bad example, obviously) caching an array of cache keys for that list, which relate to individually memcached objects.