Don't do this in the register window.  It will take forever.  The easiest way is to create a report by class that contains the transactions you're interested in.  A column will appear entitled "Unclassified," which presumably contains the all transactions you want to change.

1. Double click the number within the account you want to change and a sub-report named "Transaction Detail by Account" will open with all, and only, the unclassified transactions you want.
2. Double click the first transaction in this report and add the class you want in the box that opens (Deposit, Credit card, Check, etc.).  Highlight this class entry with your mouse and hit Ctrl-C to copy it.  Click save.
3. Go back to the  "Transaction Detail by Account" report and notice the transaction you changed disappeared (since it's now categorized).  Double click the next transaction in this report and the box will open again.  Hit Ctrl-V in the class field in that box to paste the class.  Click Save.
4. Repeat this last step until the ""Transaction Detail by Account" report is blank.

I regularly have to do this.  Once you get a rhythm going you can categorize 100 transactions in 5 minutes.  It shouldn't have to be this way but it's actually pretty fast.

I'm happy to read that QB 2015 for Mac added this feature to the Download Transaction Window.  Still won't help with splits, but it's a step forward.