It depends entirely on the game. Sometimes scaling is very good, sometimes turning SLI off will bring better performance. If you're going to be doing SLI, it's only worth it if you are linking high-end cards, otherwise, the better solution is to buy a single faster card. I personnally think CrossfireX is way ahead of SLI ATM. It allows for up to four GPUs on the AMD 780FX chipset, and also introduces non-identical GPU combinations (for example, a HD 3870 and a HD 3850 can now work together) Scaling is also slightly better than SLI from what I've seen.
What cards are you planning on SLI'ing?