Why to Do It
When running lots of unit tests, there are distinct advantages in using all of those cores and cpu's that most of our modern computers have. We can parallelize testing so that we gain two distinct advantages. First, the testing will complete much faster. If you have 4 cpu's or 4 cores, we should see at least a halving of test time, if not more. Secondly, we prove our code is able to run in the closer-to-real-world scenario that other things might be going on while our code under test is executing. Plus its just cool to do multi-threading.

The by-product or side effect benefit we get also in multi-threading our tests is that we need to put more careful thought into the design and construction of test cases, and by that virtue, our software under test. The ability to multi-thread tests is I think one of the highest bars we have in demonstrating conclusively that our software is robust.

Advice on How to Do It
Separate tests into separate test assemblies that can be launched by the build server in parallel. There is no real reason to sequence tests, unless they sometimes interfere with each other. If they do interfere with each other, the tests are poorly designed and should be re-written as independent.

See the Pragmatic Unit Testing book or see this article for good advice on how to write good tests that you can parallelize.

Tests must be thread-safe. We probably should be able to run the same test at the same time without collisions.
Tests must be TRULY independent. This usually means that tests need to generate data that is keyed specific to that test run.
Tests must not have side-effects. They must leave the test system in the state they found it.

The new version of NUnit (2.5) is rumored to have functionality to be able to run tests in parallel threads. The currently released version has only one thread to run all the tests. In some preliminary research I have done, when manually coding up multiple threads to run each test in parallel from a single "unit test" method, it has some contradictory behavior. NUnit reports that all tests pass, but the GUI bar turns red.

More to follow on multi-threading test with MS Test...