The support for this feature varies by application and requires SharePoint 2010 Server. But Office 2010 will allow multiple users to simultaneously edit a document in real-time. The best support for this is in Word 2010. Here's the info, from my Office 2010 Special Report:

In tandem with Microsoft SharePoint Server 2010, Word 2010 now provides the ability to co-author documents in real-time. That's right: Different members of a team can work on different sections of the same Word document, online, and simultaneously. Along the way, any edits are tracked and flagged so anyone working in the document can see what's changed. And thanks to a handy status bar-based notification system, you can easily IM (or phone) other team members if you need to discuss ongoing edits.

While working offline, you can also block sections of documents you're working on so that other authors don't trample over your work. When you're back online, the document can be synced up so that all the changes everyone made are finalized.