There are usually enough problems running only one version of their tools without asking for more by trying to run several different ones on the same PC.
Actually, all the VS versions live together just fine. I have at one point had 2003, 2005, and 2008 all on the same machine. At the moment I have 2005 and 2008, although with 2008 multi-targeting I won't need to keep 2005 around anymore.
However, the order of install is usually important, and you can't blame them for that. VS 2003 knows about VS 6.0, but you can hardly expect the converse to be true.
Furthermore, Microsoft's development tools are easily among the most stable and complete available, a fact that even my Eclipse-oriented brethren readily admit.