"All" is taking things a little far -- the Apollo Saturn V stack was assembled vertically (as were the smaller Saturn IB rockets when launched from LC 39).
Yeah, I was a little ambiguous with the term "rocket". "Rocket stages" would have been more accurate. Most rockets that use vertical integration use it to assemble the various stages (i.e. the upper stage and payload are both mated to the booster in the vertical integration facility)
There's a really good scene in Apollo 13 that shows this. Jim Lovell is giving a tour of the VAB and in the background you've got two of the stages coming together with a thud.
