Assign Categories

With this plugin, assigning multiple categories to one or more posts is a
breeze. Pop the plugin’s PHP file to your wordpress plugin directory,
activate it and click on “Assign Categories” under the Manage menu.
The page will show the list of available categories, followed by the
available blog posts. You can select the categories, select the required
posts and then click on “Assign Categories” at the bottom of the page.
Now, all your posts will be assigned the new categories.

Plugin Page: http://www.aswinanand.com/2008/10/bulk-assign-categories-to-multiple-posts/