I've done it plenty of times. It works, just not as nice as two balls since the yarn tends to twist as you go if you're doing both pieces on one circular needle. Just remember to stop and twirl your yarn so it's untwisted every other row and you'll be OK. It may not untwist 100% but, as long as it's only got only one or two twists around it won't tangle up.
I've done it and it is a slight issue. A lot of it depends on how the ball is wrapped and how much you are doing like that.
If the outer layer is wrapped on top it's not so bad. If it's wrapped around the ends it's a pain.
I always do it that way for a double strand chain when crocheting.
For a whole skein I find it easier to strip it out and rewrap a center pull ball with the two strands together.
It's the same issues while stripping and wrapping but it's not going on while you're trying to work.
Petroleum based knitter, removing that nasty oil from the ground one skein at a time.
I'm doing it right now with 2 socks on one circular. It's a minor pain to make sure I don't cross the yarns (or, at least, when I do, uncross them before things really get ugly!) but it's not that bad. I'd do it again if I had to, but I intend to wind two separate balls whenever possible.
Great replies, everyone! Thank you so much. The first sock is finished to the heel, and I'm waiting for the reinforcing yarn to come in the mail, so I want to start the other sock while I have time. Can't let these fingers rest!