I've neglected a site for a while, and now I need to update some modules that are several versions out of date. Can I just jump to the newest version of the module or do I need to copy each version in order and run update.php each time?
Also, if several modules need updating, is it OK to copy all the files across and run update.php once, or do I need to copy each module individually and run the update each time?
Yes, you can skip steps when updating. The best method I've found is to use drush. "drush up" will make backups; update all modules, themes, and Drupal core; and then run update.php.
I do this on my development site, test, then commit to SubVersion and check it out on production. In fact, I'm just about to update our production site.
As long as you're not skipping major Drupal versions (i.e. going from Drupal 5.x to Drupal 7.x), just jump to the new version(s).
Generally speaking, you can update from (for example) version 6.1 to 6.20; Drupal saves the last update function executed for each module, and will execute the functions that have never been run, one by one.
I would check if the project page contains particular instructions for updating a module; the module could be incompatible with some versions of other modules, or require a particular updating procedure.
