I will probably still apply to multiple schools for PhD after my MS (in case funding issues, etc might make me want to move on to a new place) but will also be petitioning to continue on to PhD at the same school I do my MS at and will have it as my number 1 choice for a few reasons...
1. I'll know my adviser already, know how we work together, and know that they like me enough to want to spend another 3 years with me (you need their recommendation to continue). This could lead to getting RA/TA easier than some external candidate since you will have relationships with several professors already.
2. I'll know the work I'm doing, that might have to change at another school (while staying might let me just continue on in the same problem). This could be a good thing for leaving though, if you wanted a change. But I don't see doing a thesis for 1 year burning me out on a certain topic.
3. When looking at professors at different schools that would be great to work at (profess at?), a lot had either direct PhDs from BS, or MS and PhD from the same school. So if tenured professors are doing it, it must be a good idea.
4. As isilya mentioned, coursework. NCSU in particular allows you to use up to 36 credit hours of work toward your PhD if you just got your MS there. If you are from a different MS? Only half that. 4 semesters of work done rather than just 2 so you can quickly move in your PhD is a good advantage.