First off, Movieboy suggests RDC Menu, a menubar application that lets you open multiple instances of MS's RDC client quickly and efficiently. This is still more of a hack than I would like, but it sure does make the hack easier to do.
Jean-Francois reminds me of CoRD, a Cocoa variant of rdesktop (I don't want to run things in X11, call me old fashioned). CoRD looks very promising as it has the lickable look of a Cocoa application, as well as supporting concurrent connections to servers in one window (sweet). Keep in mind that CoRD is only a 0.2 release though, so I'm not sure if I can recommend it for mission critical purposes.
Read on for some CoRD screenshots.
Here is the window that you are presented with when you launch CoRD:
That drop down is how you navigate from one connection to the next. I think a drawer, or an iTunes like pane would be more appropriate (so you can see all the connections in one easy place), but I'll take what I can get at this point.
And here are the options that CoRD gives you:
Not too shabby at all. Oh, and the red error doesn't show up by default, I was messing around with some things.