I have an App Server and Database (SQL) set up on a test system but haven't been able to replicate the ammount of traffic that we would experience in live so while it works ok without any problems this is due to it being isolated as a test system. I have imported live data to test and it access etc. ok but there are only a few clients on this at any time testing.
That probably doesn't help much but just to let you know.
We are used a hpux box to host both app. server and database (oracle) on same box for an enterprise level customer without problem. Some tweaking needed like fragmenting oracle data files to improve performance, increasing thread pool size for app server and database connections etc.