Hi,
I have two issues with this feature:
1. I see the tooltip "Click the drop-down arrow..." even when arrow isn't visible (when I have only one column in result set)
2. Clickable area with column name may not span correctly in available space if columns have short names [1]. It may not look too bad in English, but in Polish "Show all" translates to much longer "Pokaż wszystkie". Maybe checkboxes should be inside <label>s with display:block instead of using table for layout? Or styled <dl>, but this would require much more CSS to make it look right.
[1] http://img829.imageshack.us/img829/1531/hidecolumns.png