How to combine several run configurations in Intellij together?

The previously accepted answer does not work for running multiple servers or any scripts which do not terminate. However, now you can use the Compound run configuration to execute multiple non-terminating servers simultaneously. It looks like this:

Steps to get it working:

1. Create the individual run configurations
2. Create a new compound configuration
3. Choose the desired individual run configurations.
4. Run the new Compound configuration.
5. Go to the intellij documentation.

All the individual configs will run simultaneously - perfect for servers and other threads which do not exit!

NOTE: Even the MultiRun plugin recommends using Compound on their GitHub page. More info in the IDEA documentation.

Update

This now is possible (despite the fact that the issues @CrazyCoder linked to are still open as of this date). In Intellij 12, you can "Run Another Configuration" before launch when you're in "Edit Configurations". Here's a screenshot: