Unfortunately there's no multithreaded option for the standard xz uncompression tools (xzcat, unxz). However I wrote (as a quick hack) a parallel xzcat:

http://git.annexia.org/?p=pxzcat.git;a=summary

I also wrote a random access program for xz files:

https://github.com/libguestfs/nbdkit

(in the plugins/xz subdirectory)