Martin Nowak added recently a nice feature to the Phobos makefile: by specifying e.g.make std/stdio.testonly the unittests for std/stdio.d would build and run. This greatly improves development turnaround for Phobos.
FWIW, in most cases you can also do this simply by running: dmd -unittest -main -run stdio.dIt won't work if other modules have changed (compared to the dmd in your PATH).