In addition to the other answer, training multiple skills at once will spread the XP earned across the selected skills evenly (something the other answer didn't address):
Players can change which combat skills receive experience via Combat Settings, in the Powers interface. Experience earned with each combat class can be put toward its related skills, or to Defence, or split between them.
This effectively makes it slower to train individual skills when you have multiple skills selected, however it will keep the skill levels even (so long as they start at around the same point of experience).
Runescape has always been this way. In the past, when using melee, you would have the ability to select between different attack types, something like this:
Depending on which one you had selected, a different skill was trained (In this example, Chop would be Attack, Slash would be Strength, Lunge would be shared between Attack and Strength, and Block would be for Defence).
With Magic, you could cast spells defensively if you used a staff which would grant Magic and Defence experience, and using the Long Range option when ranging would grant both Range and Defence experience. Now with the new system, they made it more clear on what skill you want to train.