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.

The good news is that now you can use the Compound run configuration which is build natively into the program to execute multiple servers simultaneously which do not terminate.

In fact, even the MultiRun plugin states on their GitHub page that they recommend to use the Compound run configuration over their plugin.

Official IntelliJ IDEA documentation

Here's what the options looks like:

Steps to get it working:

1. First create your individual run configurations
2. Then create a new compound configuration
3. Now choose the individual run configurations you previously set up.
4. Finally just run your new Compound configuration.

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

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:

Check out this Multirun plugin.

And yes, I found it following CrazyCoder's link, so props to him again!

I found that 'Compound' sorted all modules alphabetically and launched them in that order. This could be a problem if there are modules with dependencies. If there is a way to override that sorting, I could not find it.