I've been checking out a lot of literary agencies recently, and I've been coming across the term "simultaneous submissions." Turns out, this is pretty important. Let me give you the definition I found on fictionwriting.about.com.
Definition: A simultaneous submission is the submission of the same short story or other piece of writing to more than one literary magazine or publisher at the same time. When submitting work, it is important to check whether or not the publication accepts simultaneous submissions.
The two agencies that I'm most interested in don't want to see work that's a simultaneous submission. They basically want first dibs, which is frustrating because the one said they can take up to two months before they let you know if they want your story or not, and the other said they take up to a month. So basically, you're waiting around for three months to be possibly rejected by two agents before you can send out your story to other agencies.
Some agencies said that they will consider simultaneous submissions, but they won't give your query letter the first priority. Others said they'd take the story, but they want you to specify in your query letter whether you've sent multiple submissions out or not.
If you check out an agency's website for their list of requirements, they'll usually let you know if they'll take a simultaneous submission or not.
And on that note, I hope you have a very Merry Christmas...or if you celebrate something else, have a wonderful holiday!