Warning! Some information on this page is older than 5 years now. I keep it for reference, but it probably doesn't reflect my current knowledge and beliefs.
Thu 17 Feb2011
4 years ago I've coded a program to visually support batch compilation of multiple HLSL shaders using the console fxc.exe compiler from DirectX SDK. I called it FX Batch Compiler and it's open source, under GNU GPL license, written in C#. Now I've updated it to new version 1.1. So if you use Direct3D, check it to see if it can be useful for you. I use it sometimes in my projects.
Write compilation scripts in a simple language by specifying parameters for fxc.exe.
Compile multiple shaders at time.
Compile only shaders that need rebuild checked by file modification time.
Review success or failure, warning and error count and compiler output for every task.
Compile single HLSL source file with different parameters and preprocessor macros.