Multiple shells in one window

terminator can do exactly this. It is available in the software center.

It is probably worth mentioning separately that byobu is very close to being native Ubuntu. Though it is an offshoot of screen, it is the project of Dustin Kirkland, one of the Ubuntu core developers.
His posts on byobu can be seen on his blog. .

As @EvilPhoenix pointed out, it does some cool things by default.

One of the links that Dustin has on his site is a review from Vincent Danen. It describes byobu as

a wrapper for the screen program that bundles additional functionality and custom plugins for an enhanced experience working in the terminal.

Here's Dustin and an actual byobu:

Of course, whether or not you like byobu is a personal taste thing. (I tend to use terminator more often, myself.) But it is pretty cool, and worth a plug.

screen (not installed by default) is some kind of a window manager for text mode that can split your shell window into multiple regions each displaying another shell. If you like working with a shell screen is for sure worth having a look at.