When you have a lot of rasters (instead of one big raster) that are all part of the same dataset (typically adjacent to each other), you don't want to load each file individually and then style it. It's much easier to load one file and treat it as one layer. This recipe lets you do this without actually creating a single monstrous raster, which can be difficult to work with.
You will need two or more raster files that have adjacent extents or only overlap partially around the edges and are in the same projection. Ideally, the files should be of the same type, such as all elevations, all air photos, and so on. For this recipe, the elevation rasters from the OSGeo EDU (North Carolina) dataset will work.