what do you all think?
1) all in one page?
2) have multiple pages
3) in sections, separated into their own pages and titles
4) does not matter - whichever works better for you and your users?
An article of that length is never going to be read 'by a mass web audience' who are mentally exhausted after 200 words, let alone 2000, or 20 000. Something of this length borders upon a novella or a dissertation. If you know your audience will consume it in one go, an ebook might be the way to go.
A special feature 'mini-site' might also work well. If you don't want it scraped by SE's or other sites, pull it down in sections using AJAX, and only build up the infrastructure in the document, proper. I can't point to any examples other than my own experiment with this method: Transitions by Marsha Scribner. This is an entire book of about the length you are exploring.
If you want the SE's to pick up every word, though, you'll need to use something a little more exposed to robots.
I agree with weegillis in this case especially from an SEO perspective unless you're planning to use the article to supplement your current website as in a blog post or something.
If it's for your own website, I don't see why a really long page will do you any harm. if the page is clearly and continually concerning the topic and is extremely beneficial to your users then really, why not?
Bear in mind that 20 000 words is more than an article, and at collegiate level could average upwards of 300 syllables per 100 words, roughly approaching 1KB per 100 words. That's 200KB just for the text, how much markup would that involve? Feasible as a single page, yes, but web friendly? Debatable.