Seperate Power Supply and Preamps

Several possible reasons. The first six that come to mind are:

Size limitations.
Isolation from proximity of high voltages.
Isolation from magnetic fields and transformers.
Splitting the heat sources into two or more chassis's.
Dividing the weight into more manageable packages.
Ability to apply different isolation techniques to each piece.

Albert provides a good list. Isolation and size limitations seem most common. If you look at the power supplies in some of the components that use a separate chassis, you'll see that they are large enough all by themselves to equal the size of many separate preamps or power amps. For preamps, an often cited rationale is to move stray electomagnetic fields generated by the power supply components as far from signal-bearing circuits as possible in order to reduce the possibility of interference.

Musical Fidelity claims that their separate power supplies allow the sound to remain clear and open as the volume level is increased. Something about stronger fields being created by the power supply as the power demand increases. Vibration from the power supply contaminating (not in this case) the line/phono stage, etc., would be an advantage as well. I have one of the MF X amps (integrated) and the power supply weighs about as much as the rest of the amp.

As for the above post: Most companies should provide a RFI filter at the incoming connecting cable side or in the cable itself. Secondly as far as cost is concerned, I think isolating all the nasties that can come from pwr supplies should give piece of mind when it comes to your gear and the money invested. Just my opinion.