Anandtech has posted an editorial on the theories and ideas behind multi-threaded gaming, and the difficulties associated with it.  This is worth the read, especially with the interview with Tim Sweeney of Epic Games on support for multiple threads in the Unreal Engine 3.
Tim Sweeney: Yes! These are hard problems, certainly not the kind of problems every game industry programmer is going to want to tackle. This is also why it’s especially important to focus multithreading efforts on the self-contained and performance-critical subsystems in an engine that offer the most potential performance gain. You definitely don’t want to execute your 150,000 lines of object-oriented gameplay logic across multiple threads – the combinatorical complexity of all of the interactions is beyond what a team can economically manage. But if you’re looking at handing off physics calculations or animation updates to threads, that becomes a more tractable problem.