Git, show all changed files

git_change

Assuming you mean you haven't yet committed, and want to package up all of the files that currently have local modifications, you can get the list of modified files with git ls-files --modified. If you want the files which were changed by the last commit, you could use git diff --name-only HEAD^. Where you go from there is up to you. 

Examples:
zip modified-files.zip $(git ls-files --modified)
cp $(git ls-files --modified) ../modified-files

Note that this is using the versions of files in the working tree currently.
If you have spaces in filenames, you'll have to go to a little more trouble.
(Of course, depending on what you're really trying to do, you might be looking for git stash, which stashes away all modified files and leaves you with a clean working tree, or you could simply want to make a temporary branch to commit to.)