Load multiple entities with entity_metadata_wrapper It's very easy to load entities with entity_metadata_wrapper('node', $nid) - but is there any way to load multiple entities, similar to node_load_multiple()? 

I've tried passing in an array instead of a single id, but it gives the error: Invalid data value given.

If there isn't a function for this, is there an efficient way of doing this, or is a looping the only way?
There isn't, but you can just combine the two to get the same effect:

foreach (node_load_multiple($nids) as $node) {
  $wrapper = entity_metadata_wrapper('node', $node);
}