Actually it is possible to create an elegant Multi Select Custom Field (just as the 'Components' and 'Versions' system fields), but it requires some JavaScript knowledge by adding the following content into the Custom Field's description:

<script type="text/javascript">
AJS.$("#customfield_10102 option[value='-1']").remove();

(function($)
{
new AJS.MultiSelect(
{
element: $("#customfield_10102"), itemAttrDisplayed: "label", errorMessage: AJS.params.multiselectComponentsError
});
}
)(AJS.$);
</script>

It will result in a custom field like this:

This is not user friendly. It would be nice to have a dynamic template for choosing the classical select list or an elegant display like this. As a workaround, we do have excellent examples provided by our community here:

• https://answers.atlassian.com/questions/43534/can-i-have-multi-select-custom-field-behave-like-components-versions-fields

But it should be default on JIRA.