Yes, on many booking sites like kayak.com, you can enter in multiple airports into the airport box.
So instead of just LHR (London Heathrow), you can put LHR, CDG (Paris), CPH (Copenhagen), AMS (Amsterdam).
You could also on kayak choose nearby airports and it lets you select up to 4, but I prefer to just type them in.
For a really big list, you'd do it on the all-powerful Matrix site, which allows you to click 'nearby' on an airport and search all airports within x miles. However, this will only show you what's available - you can't book on this site, and will then have to figure out how to find it on other websites.
Another possible mechanism is Skyscanner's search. Enter in your home city, and no destination. Set the dates and go. It'll show you a list of prices in order to all possible countries. Click a country, and it'll show you ranked cities by price.
However, it's not perfect, and often misses charges by some airlines (eg RyanAir).