I hate to be the bearer of bad news but they aren't necessarily all they're cracked up to be. In the wrong situation they are just worse than sex with a single other person, as it loses all the intimacy and can turn into a competition for attention where peoples feelings get potentially hurt. One of my absolute worse experiences I ever had involved multiple woman and ended with a rather drunk upset girl saying something like "I love you, why don't you love me?" (please note I had met this girl that night- it wasn't exactly love). This was followed by her puking into a trash can. Not exactly exciting or a turn on. I may not be an expert, but I've seen enough from things myself or others have been involved in them to make some rather general remarks. So below are a few words of wisdom to avoid the most common pitfalls and make sure that if you do decide to actually proceed past the fantasizing threshold you're aware that the reality is often very different and there's a lot more to take into consideration.
Also I feel that I should note that the arrangement I am almost exclusively familiar with is that of multiple woman and a guy. Not just me personally, but anecdotaly through friends, both male and female. Men and woman for the most part just tend to find woman more attractive, and generally speaking in western woman at least there tends to be more causal acceptance of girls casually fooling around together once in a while. In Asia it seemed both men and woman were more comfortable with the same gender, though this was rarely vocalized but became readily apparent when situations presented themselves. While I realize that this arrangement certainly doesn't have a monopoly on things, I don't have a lot of insight or things to add to a discussion about the others.
1) Everyone Needs to be Comfortable All the rules below basically come back to this one, the golden rule. Sex, especially for woman, is about head space and making sure everyone involved is comfortable with you, their surroundings, and themselves. When things are distracting people, when they aren't comfortable with a component of what is going on, then they are not into the moment and often any chemistry or mood will fall apart. Add another person to the equation and this can get quite complicated as it's not just a matter of how comfortable people are with their own boundaries, but how comfortable each person is with a myriad of potential interactions. The very fact that you might be keeping track of what is going on and are unsure how the other people involved may respond to certain circumstances can be distracting and off putting in itself. While the context of the interaction will be a huge variable in this (see #2 below), it's essentially the golden rule of sex anyway, and it goes double for any interaction that involves more than one partner.
2) Context is Everything Not all threesomes are created equal, and they vary greatly in the people they are made up of and the reasons those people have for engaging in this kind of arrangement. Sometimes it's a couple people falling into bed together as an extension of a party, sometimes it's a married couple adding a bit of something extra to their sex life, or maybe it's a birthday present. The reasons and settings can be varied and they dictate a lot of how the situation should be approached, and specifically what annoyances or dangers are posed by the circumstance at hand. If it's a no strings attached romp it will be easier to manage and there are generally fewer pitfalls, but that said, rarely are there no strings at all and chances are that you have some background with some of the people involved. If it's a couple bringing in a third partner then things can be much more complicated depending on the motives of the people involved.
One thing I would like to say here is that threesomes really shouldn't be used as a context to sleep with someone else while giving your partner the illusion of joining in. I say this as someone who firmly does not believe in enforced monogamy, if you want to just sleep with other people, then just come to terms with that, don't put on a show because when the event happens it will be rather clear to all involved what's going on. Now if there is no pretense, and everyone is ok with that kind of arrangement, then power to the both of you- but be honest about it.
3) Know Your Role Going into this you should have an idea of what your role is. Are you a couple? Are you the third wheel that's there for a little fun? Are you all just having a bit of fun? When people compete over their place in the hierarchy of what's going on it can immediately ruin everything.
If you're in a relationship with someone then you should try and work out what your partner would and wouldn't be comfortable with prior to engaging in any kind of activity like this. If you're the third wheel, it's probably best to follow the lead of the people who do have a relationship in order not to step on any toes.
It's also important to realize that gender differences and sensitivities do exist. Look if your a guy and it's two woman it's probably best to let the woman set the pace and context. Woman are often more comfortable with other woman, and if they are the ones initiating then it most often creates a more comfortable environment for everyone involved.
Some people prefer certain roles over others. Personally one of my favorites was when I joined in two girls who were clearly very familiar with each other- I was essentially a third wheel in this one. The essential thing to understand in these situations is that to the other people involved you're essentially a living sex toy- something they've brought in for some extra fun. You aren't there to get close or form lasting bonds, and if you try to breach that gap you're asking for either trouble or disappointment.
In a case where there are no real arrangements between the people involved, try to make sure that attention is kind of distributed evenly. People are amazing social calculators and can very quickly pick up on how evenly these kind of things play out. Be generous and be equitable- this helps ensure that everyone has fun and no one feels left out, because really having someone feel like they started out involved but end up like someone on the outside looking in can be incredibly uncomfortable.
4) Know yours and your partners limits Everyone has their own lines they don't want to cross. Me, for example, I'm just not into guys. If that's your thing, that's cool I don't really care, but personally I just don't get turned on with other guys around, and I'm just not bi-sexual. At this point someone might start claiming it would only be fair if you expect your partner to be with another woman- and you'd be right- but that isn't my expectation. My expectation is for everyone involved to be doing things they want to do. If I'm with a girl that has absolutely no interest in fooling around with other girls, then I wouldn't bring it up or pressure her to do things she isn't interested in.
Sometimes people have limits as to just how intimate they feel comfortable with other people getting involved. Someone you're with may have fantasized about bringing a third person into the equation, but they aren't comfortable with that person crossing a certain line. For instance it's rather common that guys don't really have much of an issue with a girl fooling around with another girl, but that girl might want to limit just how involved the guy she's with gets with the other girl. Those are things that people in some kind of relationship need to work out prior to engaging in these kind of things. It's also best that you have some kind of word or signal to put a stop to things in the event that people aren't as comfortable as they thought they were. I can't stress enough that fantasy is one thing, seeing things play out in reality for many people is quite another, and on some occasions people just aren't as open about these things as they would like to believe. Being honest about that ensures a better experience.
5) Don't Bargain & Compromise Don't agree to do something you're not comfortable with in the hopes someone else will do something they aren't comfortable with. This is simply a recipe for disaster and hurt feelings. It breaks the first rule and even if people agree to it it's bound to almost certainly create an environment that is tense and uncomfortable. If people decide that they could possibly push boundaries on their own, that's one thing, but when it's done as a point of coercion it really ends up being a rather selfish act and doesn't benefit anyone in the long run.There's a big difference between a playful "I'll do X if you do Y" and really pressuring someone into things that cross mental lines for them. Simply put don't pressure other people and don't let other people pressure you into doing things you're not comfortable with.
6) Be Extremely Careful with Friends Having sex with friends always has the chance of screwing up a friendship. Again, it's easy to say that you can do the no strings attached thing, but the truth is that biologically sex is designed to attach strings. For couples I would almost always recommend that if you bring in someone else that you bring in someone that you will not have future repetitive contact, or that if you do it's very casual. Some people I know have incorporated a friend and never really had too many issues, and when that happens that's great, but you'd be foolish not to recognize the potential problems and awkwardness this could create. If you do decide to go down this route make sure that everyone involved clearly knows their role and don't leave this even remotely ambiguous. If you're friends with someone who is very comfortable with some fun fooling around that's fine, but really carefully consider future interaction with this person before letting them into a situation like this, even if it seems to just be falling together in front of you without any planning. As hard as it might be, sometimes the correct, and very unfun thing at the time, is to put a stop to it before things get out of hand.
7) Have Fun This seems like it should go without saying, but believe me, it's easy to get caught up in everything going on and not relax and enjoy the moment. With another person involved there are a lot of moving parts, and it can be surprisingly distracting. Let go, relax and have fun with the people involved. Sometimes its this most simple thing that we can forget to do.