In Mail, you can save attachments from several messages all at once by selecting all the messages and then selecting File: Save Attachments. I use this a lot if I receive batches of images in several email messages. I find it much faster since mail doesn't have to try to display images which can be quite slow if they are big.
[kirkmc adds: This goes in the 'Well, yeah, isn't that obvious' section, but it's probably not that obvious to everyone. A previous hint discusses removing attachments, and a comment mentions that this works for multiple messages. So it makes sense that this would work for saving attachments as well. You could set a keyboard shortcut, using the Keyboard & Mouse preference pane, if you want to save attachments often without using the menu.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=2006042703063098