Ok - according to Wikipedia (I assume other sources as well), single strand wire is a better conductor than multi strand at the same gauge:
http://en.wikipedia.org/wiki/American_wire_gauge#Table_of_AWG_wire_sizes: "AWG gauges are also used to describe stranded wire. In this case, it describes a wire which is equal in cross-sectional area to the total of all the cross-sectional areas of the individual strands; the gaps between strands are not counted. When made with circular strands (see Circle packing), these gaps occupy about 10% of the wire area, thus requiring a wire about 5% thicker than equivalent solid wire."
http://en.wikipedia.org/wiki/Wire: "At high frequencies, current travels near the surface of the wire because of the skin effect, resulting in increased power loss in the wire. Stranded wire might seem to reduce this effect, since the total surface area of the strands is greater than the surface area of the equivalent solid wire, but ordinary stranded wire does not reduce the skin effect because all the strands are short-circuited together and behave as a single conductor. A stranded wire will have higher resistance than a solid wire of the same diameter because the cross-section of the stranded wire is not all copper; there are unavoidable gaps between the strands (this is the circle packing problem for circles within a circle). A stranded wire with the same cross-section of conductor as a solid wire is said to have the same equivalent gauge and is always a larger diameter.
However, for many high-frequency applications, proximity effect is more severe than skin effect, and in some limited cases, simple stranded wire can reduce proximity effect. For better performance at high frequencies, litz wire, which has the individual strands insulated and twisted in special patterns, may be used."
This is another scientific explanation: http://www.st-andrews.ac.uk/~www_pa/Scots_Guide/audio/skineffect/page1.html, though it's for audio, which comes up with a fill factor for multi-strand of: 0.9069 (same as the 10% number above).
There are differences between AC and DC, but basically these references state the bundle of wires act as a single wire because they are all short circuited to each other.
This doesn't mean I'm rush'n to buy single strand wires any time soon, but maybe for some usages tight in space it may be an option. Our usage is DC, low voltage, relatively high currents, so not sure, but I think it applies well.