I have played two investigator and three. I like three just because I can spread out and explore the map a little quicker but I still love 2 investigators. The thing to consider is if you play with three or more when you get an insane card it is possible that you will be against the other investigator ect. Which isn't a bad thing just something to think about.
The insanity cards are based on player number not investigator number so it shouldn't matter how many investigators you control when you are playing solo you would only use the 1+ insanity cards.