When you put New Super Mario Bros. multiplayer into a carefully chosen montage, like the one Game Informer posted for New Super Mario Bros. U, it looks like four friends out having a grand adventure in a magical world.
It's like that when you're really playing the game too, except punctuated by screaming agony as four players bumble around the stage, bumping into each other, grabbing away needed power-ups, and accidentally (and sometimes intentionally) throwing one another into lava pits.