I think the number of files you can have is limited to the number of inodes your filesystem supports and is on mount point by mount point basis. For ext2 I believe the limit is 10^18 and for reiser 2^32 (thats what wikipedia reckons anyway !!) I guess the point is that you're very unlikely to hit the limit.
Having said that, I've found that directories that have very large numbers of files in become diffecult to manage. Commands like 'ls' stop working becuase you have to many arguments and other commands take a long time to complete. I would therefore suggest trying to keep the number of files down to the hundreds rather than the thousands. Obviously this is just my opinion