There are various PWM splitters available, such as the Akasa AK-CB002 Smart Fan Cable, which allow you to run more than one fan off a motherboard PWM header while drawing the power directly from the PSU instead of the motherboard. The motherboard header takes the tachometer RPM reading from only one of the fans in the chain and supplies a PWM signal which is transmitted to each of the fans to govern its power supply while the 12 volt and ground wires come to each fan through a molex connector from the PSU. There's a very good explanation of it here
What I can't understand, however, is why so much wire has to be used - especially cluttering up a CPU header beneath an aftermarket cooler - by connecting all the terminals in parallel. Without wishing to convene a mad electricians convention over the matter, is there some reason why the terminals can't be connected in series, like Christmas Tree Lights?