Asking one question at a time

One of the more interesting pearls of wisdom from my statistics class is that one of the basic ideas of scientific experimentation, that of setting up a control and changing only one variable at a time and repeating many times, is wasteful of runs. Through proper factorial designs, you can more efficiently examine main and interaction effects from the same runs, and each effect can use all of your data and so not sacrifice standard error.

Is this controlling one variable at a time one of those little lies that even educated people keep propagating?