10.7: Move an application's windows to another Space all at once
In Leopard and Snow Leopard, you could move all of an application's windows from one space to another by holding the Shift key. This no longer works in Lion's Mission Control.
But the windows of an application are grouped together and badged by the application's icon. It turns out this icon behaves as a handle for the windows underneath it -- you can drag it to another space, and it pulls all its windows with it. It's worth noting that this applies only to the icons that sit on the windows themselves, not the Dock icons. [crarko adds: I tested this, and it works as described.]
Source: http://feeds.macosxhints.com/click.phdo?i=3a65dc291e4c841d845869e30898daac