I hate a lot of the culture surrounding it, but online multiplayer in its purest form is something very special that a lot of people seem to take for granted. Two people meeting in a little electric world and interacting is pretty amazing stuff. As such I prefer the more open multiplayer experiences.
One of my fondest multiplayer memories was in Minecraft a couple of years ago with about ten other random people. The server had just been reset, so we were all wandering out, gathering supplies and discussing where to build our base of operations. Night was drawing in fast so in mild panic we slapped together a cobblestone bunker in a fairly deep crater and tried to all pile in. As night fell, countless monsters spawned and just poured into the bowl we had decided to build our base in. It was the longest and most brutal night of fighting I had ever experienced in that game. We had every single kind of mob just dropping down into this crater onto our heads and threatening to overwhelm us. Our base had long since been busted open by a creeper and no one had the time to rebuild it. Those of us that had swords tried to cut an opening for them to put the wall back up. People who died were pretty much immediately killed out in the open as they respawned. The sun rose on the carnage and the few of us that were left looked at each other and decided to build our base somewhere else. I came back to that server a couple of days later and someone had built a little signed memorial on the lip of the crater, calling it 'The Death Hole'.
Another Minecraft experience I loved was coming to the Escapist server for the first time a couple of years ago. It was absolutely massive with about seven different sprawling cities and countless little towns. I heard tell from the chat that there was a large city to the north, so I followed a cobblestone road to its gates. As night fell zombies started to roam the streets. I kid you not, I found a hotel to stay at and went up to my room to stay there for the night. After that I spent days just wandering around and exploring all the things people had built. All the towns had names, connecting roads and signage pointing the way. There was a huge quarrying town, a massive seashore fishing village and countless other little things around. I helped someone set up a little shoreline business that traded coal and iron for food.
Minecraft PvP is a very interesting experience too.
I've also had a hell of a lot of fun in Killing Floor over the years. Four or five friends on Teamspeak, sweet and satisfying guns, a million zombie-things and a simple objective make for a great time. We played a custom map the other week where you have to look for randomly placed keys around a pitch-black haunted mansion as an invincible monster hunts you down. You all have flashlights and your visibility is based on how close to a light you are. It can get pretty unnerving when the monster is walking right past you and your friends as you crouch down in the darkness, trusting each other with your lives that no one will make a noise or turn on their torch.
Garry's Mod is fantastic for a laugh as well, fucking around and building crazy things. I once put together a functional car with four seats, and me and a few other friends went on a roadtrip around Half Life 2's highway level.
Dark Souls multiplayer is also some of the most evocative and creative multiplayer I have ever seen. Nothing gets my heart beating in excitement like seeing that 'Invading another world as a dark spirit' textbox. You never know what you're going to be facing.