Applying effects to multiple layers

I often need to apply effects such as color adjustment and filters to multiple layers at the same time. It seems the only way to do this is to merge the layers together. Usually though I still want to preserve the individual layers. I think in previous versions, linking the layers would accomplish this, but not anymore- this only applies the effects to the active layer. This has to be a common problem. Any suggestions? Thanks
Travis

No its always been the same - linking layers never meant that Photoshop would apply a filter or adjustment to all linked.

Sounds to me what you need to master is layer sets - try grouping all the layers you want to adjust into a layer set - then change the mode of the set from "pass through" to "normal". Now any adjustment layer you add at the top of the layer set (ie Curves or Levels for example) will affect all the visible layers in your new layer set. This is a handy technique for keeping things editable.

Filters by their nature can only be applied to the pixels of one layer at a time. The quickest way to do this is to apply the filter with the settings you want to one layer, then just quickly go through the other layers and hit control F for every other layer you want the same adjustment- on a fast machine this will be very quick.