I am assuming you are using an earlier version of ImageJ, since later versions let you open multiple files at once. You can add this functionality to ImageJ by using the File_Opener.java plugin found here. It functions as a file browser and you select multiple files in the usual way.

If you are opening many files with the intention of building a stack, I highly recommend using Imagemagick instead. I use it to batch resize, build tif stacks, and crop. Converting bit depth should be done in ImageJ, since stripping extra bits in Imagemagick gives black 8 bit files in ImageJ for some reason. If there is interest, I can provide some quick and dirty command line code to do these things in Imagemagick.