Scale Strokes Only
When Scaling numerically, the have choice whether to scale Strokes (and) effects as well.
What I am looking for, is a way to scale stroke widths, without scaling the objects. In that way, it is easy to change several stroke widths, while keeping the ratio between the stroke widths. (I know the work around, to scale back the objects without scaling the strokes - but that comes with some risks and limitations)

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Jan, you can do it already.
1. Select your objects
2. Call Object > Transform > Transform Each dialog (Cmd + Opt + Shift + D by default)
3. Check Scale Stroke & Effects, uncheck Transform Objects
4. Change Scale values as you wish
This method also changes the scale of the effects though... if you wish to change only strokes, there is a separate request for this — http://illustrator.uservoice.com/forums/333657/suggestions/43400817
...yes, you commented there (8 years ago!)
While the option indeed is disabled in Scale dialog, it isn’t in Transform Each — and since objects do not get scaled, it doesn’t matter much.