The Nether is surprisingly easy so long as you're careful and your first portal spawns in a cave. Just make a base with a roof 4-5 blocks high (so that ghasts are unlikely to spawn), don't attack the zombie pigmen, and you'll be safe. If you do spawn in a cavern with ghasts attacking you, just throw up a cobblestone building around your portal as ghasts can't destroy cobblestone. I use the Nether all the time as a fast travel network and the only bad thing about it is the noises the ghasts make.
There's not much to do in the Nether right now, there's only three blocks and two mobs, but the fast-travel aspect is a huge advantage for large maps like mine.
Multiplayer is good, but it has two major problems right now. The first is that health hasn't been implemented yet, so all you can do is build and explore without fear of dying. That's not so bad, and it's fun exploring some other people's buildings, but without a sense of danger it can be a bit dull. The other problem is the griefers. I logged on today to find that one of my windows was broken during the night, which wasn't such a big deal, considering. There's an area on that server called Sky City, which is a large floating platform you can purchase land on (using diamonds and gold you've mined) to build a structure. It's the exclusive area of the world, basically. Over the last 10 hours it was griefed very badly, some buildings were ruined, the ladder up to it was destroyed, and the bank was robbed. The guys that did it were banned, but the property owners up there now have to rebuild their stuff, and any goods that were stolen from them are gone. You can't collect and place water with buckets because the mods had to turn that ability off, too many griefers were using it to annoy people.