Multiplayer games are engaging and fun, just like any other aspect of gaming. Multiplayer adds longevity to a game, provided you can stand it when it gets frustrating. The challenge is better, because I find the AI can become very predictable after a small amount of games while human players will always seem to employ different strategies. If the multiplayer has a developed a meta-game, you will find that players adapt to what's new and what's considered to be good, while AI doesn't what human players do. There is also a drive to change up your playstyle to be a lot better because of how much better human players are, this often applies to RTS games, such as the Command and Conquer betas being multiplayer only or the Starcraft 2 beta being multiplayer only.
I personally play multiplayer for the challenge and the competitive nature, for the drive to become better at a game when I lose. Plus, it's always more satisfying to beat a human player than it does to beat a CPU.