The --merge-list (without a preceding b) flag is also used to merge multiple binary filesets; see alesssia's link.
Note that you cannot split a fileset across multiple lines of the --merge-list file; i.e. bsmith030465's sample all_my_files.txt is not in the correct input format. Either fully spell out all three filenames on the same line in .bed-.bim-.fam order, or include just the common prefix (this latter mode is only supported by PLINK 1.9).
I use plink v1.07, and merged bed files using command:
plink --merge-list allfiles.txt --make-bed --out mynewdata
#error: plink --noweb --bfile fA --merge-list allfiles.txt --make-bed --out mynewdata
#please do not use bfile, or file, or else it will combine the first file without pruned, damn it!!
Each fileset must be on a line by itself:
lines with two files are interpreted as PED/MAP filesets;
lines with three files are interpreted as binary BED/BIM/FAM filesets.
The files on a line must always be in this order (PED then MAP; BED then BIM then FAM)