A film camera does double exposure by exposing the film to 2 scenes twice. Since a dSLR saves individual images on the memory card, u have to use a more crude way to achieve the effet if your camera does not have this function in-built.
1. Set your aperture very small to reduce the amount of light entering.
2. Set a long shutter speed.
3. Take a shot then quickly...
4. ... use a black card to cover the lens.
5. Remove the black card to expose the sensor to another scene.
6. There u go, double exposure. U can even do triple of quadruple!
You'd have to play around with the aperture & shutter speed abit to get your desired effect.
1. Take 2 shots.
2. Upload into computer.
3. Use Photoshop to put both pictures into 2 layers & edit the transparency of each layer.
4. There u go! Double exposure too! But this is MUCH easier... haha! U can also triple or quadruple it y'know?
For me, I'd go for Photoshop unless I'm sick of using the com or I'm bored. =)
I am shocked to hear that Nikon D2X has this feature built in but none of current Canon pro DSLR has it. Perhaps its because the effect can be easily achieved by using PS like what karnage has describe and so Canon feels that there is no need put in this "not so oftenly used" feature in their camera. Anyway, its a good idea that Canon decided to leave out their camera from the loads of these extra feature which can be easily done on a desktop.