Demon's Souls multiplayer is different than other multiplayer. You rarely interact with other players. They can leave clues all over the place, but none are really helpful. Every so often, you see echoes of other players running around. If you come to a blood spot, touch it and see how other people died. If you go to certain spots in the game, you can hear echoes from other games leech inside. There is a balista in one level that constantly shoots arrows until you can disable it. If you are online and have not disabled it, you can hear echoes from other games going on at the same time, which amplifies the sound into eerie. If you go there when the balista is disabled, you can still hear echoes from the other games.
There is an article on this site called "Ghost in the Machine" describing some of the events from the game.