Bulk Update Q / SQL Rant

Moderate SQL experience, substantial SQL frustration...

FB will let me do this:

INSERT INTO TABLE1
SELECT * FROM TABLE2

or even

INSERT INTO TABLE1 (field1, field2, field3)
SELECT field4, field5, field6 FROM TABLE2

but why, oh, why can't I do this:

UPDATE TABLE1 set (field1, field2, field3)
SELECT field4, field5, field6 FROM TABLE2
WHERE TABLE1.KEY_FIELD = TABLE2.KEY_FIELD

Instead, I have to write code to iterate through records and it's slow, slow, slow.

Could a bright person explain the most efficient way to do this?