Just sign on to the Gamespy server from the multiplayer menu, join one of the team or FFA (free for all) games. Quite entertaining and addictive, before you know it is 3 am and you have to be in school/office early the next morning.
Online multiplayer is just like regular singleplayer - you can choose any of the same options, from the different map types to game speeds to map size and everything in between. You could also play a scenario as well. One of the more popular features, like mutax2003 said, is the ability to play a team game, where you share research, line of sight, and other things with your allies. Basically, anything you can do in SP, you can do in MP as well!
As for how popular MP is, it varies - now that Warlords (the first expansion) has been released, I'd imagine that "vanilla" Civ4's MP action has taken a hit, as many people have moved on to Warlords. You still should be able to find a MP game to join in both version, however, if you go at the right time (i.e. nighttime is probably better than mid-morning!).
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