For lamps and materials it’s on by default, so most people tend to ignore it. In certain cases it can help to turn it off, but most of the time what you really want to do is turn it on for Environment lighting.

From the wiki (which I wrote ;) ):

Multiple Importance Sample: Enabling this will sample the background texture such that lighter parts are favoured, producing less noise in the render. It is almost always a good idea to enable this when using an image texture to light the scene, otherwise noise can take a very long time to converge.

If you’re skeptical about the Importance of this (see what I did there?), check out this comparison:

MIS off vs on

Both images were rendered for 25 seconds, the left did 1500 samples in that time, the right only 1000 but clearly produced a cleaner image.

If you’re using a particularly high res HDR, try increasing the Map Resolution, still keeping in squares of 2 (256, 512, 1024…). It’ll probably produce less noise, but at the cost of memory and render speed. Just play with it and see what gives the least noise for the render time.