As one would expect, there are many featuers to be done while playing New Super Mario Bros. Wii's Multiplayer that couldn't be done otherwise. Some can help to cooperate, and some can help to compete. Here is just a short list of the things available in Multiplayer.
While playing in any place that's not the Level Select Screen or a Mushroom House, any of the players can press "A" and have a bubble form around them. This provides the same effect that dying in Multiplayer does. The player that is in the bubble is safe from all attacks, but can do nothing but float around. In order to be rescued from this bubble, any other player must either touch you, throw something at you, or hit you with a fire or ice ball. Keep in mind that if all players press "A", you are forced to exit the level, as rescue is impossible in this situation.
Players can pick each other up by holding down "1" and shaking the Wii Remote while next to another player. If there is not enough room for the player to be carried above the other one's head, the player will return to their original position. While carrying another player, you can throw them. They will be thrown at a slightly downwards angle, though, so be careful if you aren't trying to kill them. The player being carried can jump off by shaking their Wii Remote. If the player crrying the other player has a Propeller Suit on and shakes the Wii Remote, both the carried and the carrying will be launched upwards. Furthermore, if a player is carrying any kind of block, another player can stand on top of said block and move along with it.
In the Item Mushroom Houses, the players must take turns. However, you can steal someone's turn if you can manage to Ground Pound on them before they can flip the Item Panel. Doing so is easier said than done if you're playing with someone who is experienced.
Players can jump on top of the other players' heads, which can be both beneficial and bothersome, depending on who is delivering said jump and who is receiving it.
Keep in mind that these are just a few of the possibilities available to be performed in Multiplayer. Good luck using these to your advantage!