If you move a message to a folder, you can quickly move other messages to that same folder simply by selecting them and pressing ⌘-⌥-T (Command-Option-T). The most recent folder you used becomes the shortcut destination under Message > Move to [the folder] Again.
This is great if you’re doing some mailbox cleanup, but don’t want to keep drag-and-dropping or digging through the menu hierarchy under Message > Move To.
Bonus points: for those who don’t know, you can hold ⌘ to select multiple individual messages, or hold ⇧ (Shift) to select all message between two points.