oh you guys are silly!
simply select all the songs you want to change at once by holding down the command key and clicking on each song.
then, either hit command-i or the little i button on the bottom, and voila! you can change the information for all songs - not just the artist, but the album, year, genre, and many others.
quick tip #1: if you have a long sequential list of songs, click on the first, then hold down shift and click on the last one. this will select them all at once.
quick tip #2: when you are ripping cds, change the artist/album/etc. information BEFORE you click the import button. it will import with this info. OR if you're connected to the internet, when you put in a cd itunes will automatically connect to CDDB and get the album info for you, thus no typing.
[edit] looks like a few of you beat me to it...