The out-of-the-box functionality for uploading multiple files to a SharePoint Document Library relies on an ActiveX control (requiring special end user web browser security settings and/or confirmation dialogs), which is readily available without requiring further installation only on client computers that have at least one Microsoft Office 2007 application installed (and selected certain SharePoint-compatible client components when they installed that Office application, hidden in some crowded setup customization tree view). Once you get the out-of-the-box ActiveX bulk-file upload control to work for all your users, you can only upload multiple files from a single directory in one bulk upload: you cannot select files from various directories to bulk-upload in one go.
Once you decide that the out-of-the-box approach to bulk document uploads is too troublesome, or just not useful enough, for you or your users, UploadZen offers a robust and compelling alternative. UploadZen adds an Upload Multiple Files menu command to the Upload menu of all Document Libraries and other libraries.
When you click the Upload Multiple Files menu item, the UploadZen window (a ClickOnce Windows application) is launched right from the browser (no previous client-side installation required) and lets you immediately select any files and bulk-upload those to the library, as described in Walkthrough: Using UploadZen.