You're right. The mail app included does not have the ability to mark new email messages as read. There are no check boxes in the inbox to allow the selection of multiple unread emails. But the gmail app does have this feature. Just select the check boxes of the unread messages in the inbox then go to menu/mark as read.
If you would like to do this with non-gmail accounts, there is a free mail app in the market called "K-9 Mail" that is very popular and has the ability to mark multiple emails as read. I started using it as soon as I realized the same thing as you... the fact that the included mail app cannot mark new mail as read.