Here's a command that makes executing commands, macros, and evaluating Lisp expressions in multiple files a no-brainer. Note that the prefix argument allows to execute a macro for each file until an error occurs. I posted this already on superuser but it works so well that I thought people coming to this page could also find it useful. I like to bind this to 'E' in dired.
Update: the old version of this function supported only macros. The updated one is both simpler and more powerful, allowing to execute arbitrary commands (by key sequence or name) as well as Lisp expressions. It is now also careful to log any errors in the Messages buffer.
;; Inspired by M-x edit-kbd-macro and https://superuser.com/q/176627.
(defun my-dired-do-execute (keys &optional arg)
"Execute a command in all marked files.
If an error occurs, execution in other files is not affected.
(Notably, this allows to run keyboard macros until there is an error.)
At the prompt, type any bound key sequence, or `\\[execute-extended-command]'
to choose a command by its name, or `\\[eval-expression]' to enter a Lisp expression.
The prefix ARG, if given, is passed on to the chosen command.
(list (read-key-sequence (substitute-command-keys "Key sequence to execute, \
or \\[eval-expression], or \\[execute-extended-command]: "))
(let ((cmd (if (arrayp keys) (key-binding keys) keys))
(cond ((eq cmd 'execute-extended-command)
(setq cmd (read-command "Name of command to execute: "))
(if (string-equal cmd "")
(error "No command name given")))
((eq cmd 'eval-expression)
(setq exp (read--expression "Eval in selected files: "))
(setq cmd nil))
(error "Key sequence %s is not defined" (key-description keys))))
(mapc (lambda (filename)
(setq current-prefix-arg arg)
(message "Result in file %s:" filename)
(error (message "In file %s: %S" filename err)))))