There is one Hilbert space in quantum theory. The set of (generalized) eigenvectors of a self-adjoint operator (hermitian is not enough!) is complete, i.e., any Hilbert-space vector can be realized as a (generalized) linear combination of the set of orthonormal eigenvectors.
What you are referring to is the case of degeneracy, i.e., an self-adjoint operator can have eigenvalues with more then one linearly independent eigenvector. Then you need to specify one or more other compatible observable(s) (of course all used observables must be mutually compatible, i.e., the self-adjoint operators representing them must commute) to pin down a particle's state by determining all these mutually compatible observables. If a set of such compatible observables has only one-dimensional common eigenspaces, the set is called complete. It is of course sufficient to use a minimal such complete set, i.e., it doesn't make sense to use a compatible set, where one observable is a function of the others.
E.g., for a particle with spin 0, the momentum components are a (minimal) complete set of compatible observables. Their spectrum is [itex]\mathbb{R}^3[/itex], which is entirely continuous, and you thus have no true (normizable) eigenvectors but "generalized" ones, which can only be "normalized to a Dirac-[itex]\delta[/itex] distribution:
[tex]\langle \vec{p}|\vec{p}' \rangle=\delta^{(3)}(\vec{p}-\vec{p}').[/tex]
Now consider a free particle. Its Hamiltonian is
[tex]\hat{H}=\frac{1}{2m} \hat{\vec{p}}^2.[/tex]
This implies that any (generalized) momentum eigenstate is also an energy eigenstate, but determining the energy of the particle only fixes [itex]\vec{p}^2[/itex] and not the three momentum components, i.e., for each energy eigenvalue [itex]E \geq 0[/itex] there are infinitely many (generalized) eigenvectors.
Another set of compatible observables are the energy, [itex]\vec{L}^2[/itex], and [itex]L_z[/itex], where [itex]\vec{L}[/itex] is the orbital angular momentum of the particle. Now, indeed you can express any eigenvector of the Hamiltonian with a given energy eigenvalue [itex]E[/itex] as a linear combination of a complete set of other eigenvectors, i.e., you have
[tex]|E,l,m \rangle=\int_0^{\pi} \mathrm{d} \vartheta \int_0^{2 \pi} \mathrm{d} \varphi \; \sin \vartheta \, A(\vartheta,\varphi) |\vec{p}(\vartheta,\varphi) \rangle,[/tex]
with some function [itex]A(\vartheta,\varphi)[/itex]. Here [itex]\vartheta[/itex] and [itex]\varphi[/itex] parametrize the spherical shell with radius [itex]|\vec{p}|=\sqrt{2 m E}[/itex] in the usual way of spherical coordinates:
[tex]\vec{p}=|\vec{p}| \begin{pmatrix}<br />
\cos \varphi \sin \vartheta \\ \sin \varphi \sin \vartheta \\ \sin \vartheta<br />
\end{pmatrix}.[/tex]