Soon or later you will wish to link many layers at once. Are you about to click a checkbox of each layer to do this? Of course not. Suppose you just created new document in Photoshop. Then you created new layer with circle filled with color on it. You duplicated this layer 5 times (Cmd+J) and moved copies around a bit in order to create some kind of shape. Now you want to link all these layers. Here is how. Select your background layer. Click on link checkbox of your first layer, above the background layer, and hold your mouse button pressed while dragging straight up to highest layer with circle. Use the same method to unlink layers. You can start linking from the top layer if you like. Everything works like a zip.
To create composite layer (in my example, layer that contains all circles on it but without merging layers to create it) add new layer above the top layer. It's easy with shortcut key - Select top layer and press Shift while you click new layer icon at the bottom of layer's palette. Then, link all layers except background layer and newly created top layer. Keep top layer selected and now just press Cmd+Option+E. You will get new layer filled with shape containing all your linked layers. Now you can experiment with layer effects on top layer such as drop shadow, bevel, etc. Original layers remain untouched.
Please note: CS2 users reported that keyboard shortcuts used in this tutorial doesn’t work in CS2. Read comments to learn how to deal with this problem.