In QGIS 1.8 I used plugin "Select features of visible layers by rectangle" to know the layer that owns a visible feature. In QGIS 2.0.1 this plugin is no more available. I wonder if it is possible to use another way. "Value tool" doesn't seem to be so useful for the purpose ....
You can use the identify map tool (The most left icon in the screenshot of @Curlew). In "Settings" => "Options" => "Map Tools" you can adjust it's mode to "Top down" or "Top down, stop at first", so it will search not only in the current layer.
PS: This solution will only help you to identify the feature but not to select it directly. It seems to me, that despite the title this seems to be the your actual goal.
The select features of visible layer has been integrated into QGIS and its toolbar. Just select a layer in the table of contents and click on this little icon:
If this isn't the function you wanted than you might have to wait(or pay him) for the original plugins author to adapt the plugin for QGIS 2.0.
I think that this Plugin can help you. https://plugins.qgis.org/plugins/MultipleLayerSelection/