I have suggested this earlier.
It is very similar to "Auto attack". Instead of clicking 20 times to do your fortification, you can click twice.

I play many two player games. Would be very useful, when neutral territories often "defend" many countries.

This is exactly what I meant it was supposed to be used for.

edit:
Look at this situation:
http://img503.imageshack.us/my.php?image=snapwo8.jpg

I want to fortify all available troops to Indonesia.
A "Fortify all" option would be very helpful.

Very often you want to fortify all your troops to one country.
Suggestion: In the "Fortify from" drop down menu, at the bottom, make it possible to choose "All countries". When fortifying from All countries to a country, all troops that are allowed will be fortified.