Apparently Microsoft decided at some point that "Close" and "Close All But This" was sufficient options for the document context menu in Visual Studio.
This puzzles me, as I quite often find myself wanting to "Close All".
The only way I've found this so far, was to install the JetBrains ReSharper extension, but I really have no use for all the other features in that package.
Having a bit of sparetime today, I ended up writing my own add-in,
adding "Close All" support to Visual Studio 2010: "Close All 0.1".
Feel free to use. So far only VS2010 is supported.