After you shoot your multiple exposure the camera will then output one NEF (RAW) file of all the exposures combined. So if you were shooting tethered it appears that nothing would be exported untill all exposures were made.
There is also an Image Overlay (most Nikons) that takes two NEF (RAW) files and overlays them (in camera) and then outputs a new NEF (RAW) file of the overlay, without altering the two original files.
BTW all of this is done in NEF (RAW), and Nikon says that this makes for better color than in post processing programs.
Sure would be nice to see some test shots from D300, D700 or D3 owners
If Nikon can do this on their low end D90, why can't Canon do this on their top-of-line 1DS MK III?
the Pentax K10D and K20D do it for up to 9 exposures. just like the Nikon's you can configure them to compensate exposure for each capture or to shoot the metered value for each one in the sequence.