When I select multiple object and add a modifier, the modifier only affects only one object.
How do I affect them all?
It affects the active one (brighter selected object). You have to hit Ctrl+L and click on Modifiers. So every object selected will “copy” the modifiers of the active one.
I agree. There should be a more clever way to do this. Maybe the UI rethink will solve this
Yes, the outliner doesn’t light up when I select multiple object. It feel the multiple object selection a bit off.
What’s the underlying structure about linking modifiers? Is there any detailed documentation of how it works?
I found another work around that sounds more logical to me, Select all object, apply modifier(it would be applied to one object), press Ctrl + J(Join all objects in one object). You have modifier applied to all object. Now, to separate them, go to edit more > P > Separate by loose parts. (one advantage of this method is that, I don’t have to relink every time I change to any of the modifies of those objects.)
try yout logical approach when you have 500 cell fractured object that you need a modifier attached to. after the first hour digging out the tiny fragments to un join them you’ll be wishing you had just linked the whole mass in one swoop. thats ifyou hadn’t just deleted the wole project after 10 minute and gone for a beer instead… 
I tried your method. All my material assignments are gone and I have to reassign materials to 1000 objects. My attorney will be contacting you! JK:D
Well, I though this was easier, since it makes the selection and separating them after applying modifier quick…I am kinda scratching my about what you said 
doh!..forgot to add the disclaimer 
ok i’ll try to explain the obvious.
if you have hundreds of oblects clustered together then joining them together, while it will add the modifier to all, you will take forever individually selecting each piece, then pressing ctrl p seperate selection.
and you have to re apply all materials if they were different to the mesh you joined too as DruBan pointed out.
you can do that. i suggest you try it, it may be fun for you.
or
you can box select the entire cluster pres ctrl l, link by modifiers. done, go home.
so now, tell me again how your way was faster
boom! I am noob so pardon if I am not getting simple stuff right.
The thing is if when I select multiple object and press ctrl+j, all the objects are combined into one object. So, when you go to edit mode of that one object and P>Separate by loose parts, it separates those loose parts and thus going back to the pre-modifier state.
And yes, since they are combined into one object and the material information is lost. This is the downside.
Often you have multiple separate parts that you want as one object as well.
Yes, I didn’t thought of this.
yeah, ok you got me on that one. i forgot about the loose parts option. in SOME cases it could be faster.
Not a personal criticism - Iamcreasy, but this is a really good example of how if you get into the habit of doing things the ‘wrong’ way, the functionality of a tool becomes reduced… I.e. If someone makes this their standard way of linking modifiers, then they have locked themselves out of the very useful functionality of Blender that allows unconnected meshes to still be part of the same object…
‘Wrong’ being relative of course to the fact that you may never need to use that feature.
Yeh…thanks. Don’t know when I’ve lost the my other mind set. Thanks for reminding. Appreciate it.