Hiya,
Well multiplayer has its benefits, and its disadvantages.
The benefits:
* You make lots of new friends
* It in many ways is more realistic (communicating with others etc)
The disadvantages:
* Servers arn't always stable and can crash
* More chance of lag
* Rammers
MP is just like one big free roam, at the moment no missions.
The server application is for those who wish to host their own custom servers. I wouldn't recommend it personally, as there are to many already!
Hope this helps,
SA