This article is based on material first published on my blog at http://blogs.technet.com/b/tonyso/archive/2011/09/13/roll-your-own-techdocs.aspx. It is offered here so that others can extend it with additional details, tips and usage scenarios. Please feel free to revise and improve it, it is the wiki way!
See also Jeff's detailed write up with screen shots at: http://thirdblogfromthesun.com/2011/08/export-then-print-multiple-library-topics-beta/

Microsoft has released a beta version of a feature that lets you build your own book of technical content. It is unhelpfully titled the Print/Export Multiple Topics tool. I think of it as the "Build a Book" tool, but perhaps there were unhappy memories of the acronym BOB? Anyway, this is a special view of the TechNet Library that allows you to select articles that you care about, from different parts of the library, group them in a collection that persists across web sessions (requires sign in), and then print them or export them to a file. This tool requires at least Internet Explorer 8, or the latest versions of other major browsers.

NOTE: there is a limit on the beta of 100 topics, so you are not able to package up and download all 2550 topics in the Exchange node, for example. At least, not all at once.

To try the tool:

1. Go to the TechNet Library: in my case the URL is http://technet.microsoft.com/en-us/library/default.aspx

2 Sign in (required to print and persist your collection across web sessions)

3. Click Lightweight view

4. Search/find a library article you would like to add to your collection. In my case, I’ll use the Best Practice Analyzer for Hyper-V page, because the page also shows links to other BPAs (that collection would look nice on my mantle-piece).

5. Click the small icon next to the printer icon in the top right corner of your screen

Note: If you are using IE9, and you do not see the icon,

Click the Compatibility View button in IE

6. Click Print Multiple Topics

7. Click Start. A new toolbar will appear in the web page. Browse as you normally do, with the toolbar activated.

New toolbar:

8. Add articles or topics to your collection:

• Use the toolbar to add pages to your collection as you visit them. 
• Or use right-click on links to add the linked page to the collection.
• Or add all the topics under a link ("Add This Set of Topics") in the table of contents on the left navigational bar.

In my case, I am going to add all those other BPAs:

9. Click Collection.

Review and rearrange your collection's content as it makes sense to you and then print or export. You can export to HTML* or PDF.

* If you export to HTML with the intention of accessing the pages offline, make sure you choose "save as Web Archive (.mht)" or "Webpage complete" in your browser when you save the generated document. Note that web browsers work best with small HTML pages, so HTML format is not recommended for large collections.

In my case, I’ll try .PDF for my collection of BPA articles, and then I’ll click Generate.

11. A few seconds later, I have my file, and I right-click to download it.

You can find instructions on copying your .PDF to your Kindle at: http://www.amazon.com/gp/help/customer/display.html?nodeId=200375630 
Some of you from the old days may remember a 2007 similar effort called PackageThis: (http://packagethis.codeplex.com/releases/view/2894)