In some videos I've seen Medivacs scoop up a whole load of units at the same time. I'm trying to get by right-clicking all the units to pick them up, but knowing how to do this properly would of course be helpful.
If you're used to queueing (and you should be!), then another method is to hold down shift and right-click units individually. The advantage of this is that you can then queue up a move order or even an unload order (although this will only be available once the medivac is holding a unit) after the load order(s), which can be useful to quickly relocate troops, but it's less useful with multiple medivacs.
This is true of overlords and warp prisms, too.