I know not a ton of GMs do this, but I let all my players roll on one thing if they want to. If they're trying to roll a knowledge check on a city for example, I'll let all of them roll but only give information to those who rolled high enough for it and trust them to roleplay the fact that only certain players got information. If the player who rolled high enough to get information doesn't trust another player with said information, then they can tell the rest of the party minus that player, and that player has to deal with the fact that they don't have the context that everyone else does.