You can perform operations at the assembly level such as cut extrudes, cut revolves, etc... The things you can do are more limited, but think of it as what you could do in real life. If you had a bunch of parts stacked up, you could drill holes through all or some, but you would be hard pressed to add material such as a boss on an existing part.
While in the assembly (and not editing a part) create a sketch and then go to Insert\ Assembly feature and choose the operation.
