Currently, one would need to write a complex and long SQL query to achieve this, as shown here: http://wordpress.stackexchange.com/questions/907/using-wp-query-to-query-multiple-categories-with-limited-posts-per-category
My proposition, 'posts_per_category' parameter for WP_Query:
$query = new WP_Query( 'cat=1,2,3,4,5&posts_per_category=5' );
This query would retrieve the 5 latest posts from each category passed to the 'cat' parameter. In this case, 5 categories with 5 posts each would return 25 posts.
Ideal Use Cases:
1) Use the 'posts_per_category' parameter to create a custom archive template showing the latest X number of posts from each specified category.
2) Custom parse the returned data of WP_Query where you can split up posts into multiple arrays depending on the 'cat_ID', and then individually loop through those arrays to display posts throughout the template.
3) Can be useful for embedding latest post links for multiple categories in the sidebar, footer, etc.
Having a 'posts_per_category' option would save developers from having to write DOZENS of lines of custom SQL with a bunch of JOINs, UNONs, LIMITs, etc.