It seems to me that highly non-linear plots are rather different than simultaneous sub-plots, so I think I will address them separately.
When I do longer work, I usually have multiple sub-plots running. I never write one sub-plot all the way through. I always go back and forth, usually switching every chapter. This question actually inspired a bit of self-analysis, as I'd never really thought about why I do it that way.
A somewhat minor reason is simply keeping fresh. By bouncing back and forth, moving between characters and settings, I can keep my own interest. I stay fairly close to all my characters and plot-lines, and when sub-plots intersect, I don't have to go back and remind myself what each character was up to.
I think the biggest consideration, however, is that "story time" and "reader time" are very different things. A year may pass in the story, denoted only by a chapter end or page break. That year passes in a moment for the reader. By writing the various sub-plots in (roughly) the order they're going to be read in, I can get a feel for that pacing that I couldn't get by writing them separately and then fitting them together. I can make little adjustments on the fly.
If you were to write each subplot separately and then merge, the key would be to know where those plots intersect one another. The parts far from the intersections are easier to modify, because they'll only have an effect on their sub-plot. Closer to the intersections, changes to one sub-plot may affect others.
Non-linear plots will almost always require more work than their linear counterparts. If you're someone who doesn't mind outlining, life will probably be easier. You can outline the events in order, then work on a second outline that takes those events and rearranges them. This way, you can still write the first draft in the approximate shape you want it for the final draft. Ideally, I prefer to take this route (though that doesn't always happen).
If you don't want to outline up front, it probably pays to write the story linearly first, then go back and reorder things. This is going to take more editing, but that's usually the price you pay for not outlining up front (this isn't necessarily a bad thing - some people find this is the only way they can work).