How do I select all objects without materials applied? I have a complex scene with CAD exported files and other meshes.
There is a big amount of objects (> 200) and many of them are missing a material.

How do I select all the objects with no material so that I can apply one to them without affecting the other objects?

Shift+L + Material does not work because these objects do no share the same material.
While you can select a material'd object and do Select > Linked > Material to select objects with the same material, I don't know how to automagically select non-material'd objects, so here's a work-around:

Select your material'd objects, them move them to another layer M, 2 (or whatever layer number you want). Once you have all the material'd objects on another layer, you'll be left with a layer full of non-material'd objects (and maybe a camera and some lights). At that point, you can A to select the remaining non-material'd objects.