A recent update to the Steam client beta has made it a whole lot easier to install multiple games at the same time.
This may not qualify as the most "must-have" feature ever, but it's handy if you've ever wanted to do a big, overnight download of multiple games on Steam. In the past you'd have to start each download manually, but now you can select as many games in your library as you like, then right-click and select "install." That will open an "install—multiple games" window, from which you can make the final decision about what you will and will not dump onto your PC.
I'm not sure when exactly this feature was added, but it came to light a couple days ago by way of the Steam Database Twitter account. To take advantage of this and other handy beta updates, you will of course have to be participating in the Steam client beta program, accessible through your account settings.