This is an idea I've had some days back. Turns out it was super simple to implement, so here's a patch.
This will mostly be about the design discussion of whether we want this hotkey or not.
To test it, select a few units, then press this hotkey, then give an order. You will see one unit (the first) will go and do that order, and get removed from the selection.
This allows you, for example, to select all your units at the start and easily give them each a different order.