IMHO, ability to do this varies based on role, market, experience, etc. In my past 3 job searches, I went the multiple opportunity route. I let each company know that I was in-process elsewhere, what my rough timeline was, and that if things got to offer stage that I wouldn't share that info between companies (i.e. bring your best offer). I stated these things not as demands, but in a friendly, agreeable way. e.g. "I'm very interested, but I also have anothet good opportunity as well and want to be able to choose what fits me best."