Sampling simply refers to what you're basing your anti-aliasing on. In the case of supersampling, you're just taking the whole image (or frame) and then averaging out the colors between frames to create a feeling of smoothness. Multi-sampling actually finds pixels in polygons to fix without having to render an entire screen (several times).
Supersampling is extremely graphic intense, where as multisampling is less so. Multisampling is prone to leave behind artifacts and aliasing due to its selectivity.
And that's as much as I know. Can I use my chance/call a friend card now?