EDIT: I was wrong: you can manually merge changes. All you have to do is click Resolve instead of Auto-Merge, leave the default settings on the new dialog, and click OK. The text doesn't make it obvious but this takes you to the manual merge screen.
I had a situation yesterday where I needed to unshelve and merge multiple shelvesets in TFS that had a few
common files between them. I was surprised to find that after unshelving the first one, I was unable to unshelve the others. It turns out that TFS does not support merging on unshelve, so when it sees one of the files in the set marked as checked out, it rejects the whole unshelve operation.
I thought I was stuck until I found this blog post that outlines how to do it with TFS Power Toys, which I fortunatly already have installed. As far as I can tell, you can only auto-merge with this feature, so it's a bit limited, but it's better than nothing. It also unfortunately requires some command-line activity, but just a tiny bit. Also, contrary to the linked post's advice, copying tfpt.exe to the mapped solution directory actually caused it to fail, as it couldn't find some dependent assemblies. Instead, I just got the full path to the .exe (on my 64-bit machine, "C:\Program Files (x86)\Microsoft Team Foundation Server 2008 Power Tools\TFPT.exe"), and ran that while in the solution directory at the command line.
Looks like I need to talk to my team and manager about implementing a branching strategy, because I think we're trying to use shelvesets to do too much.