Since many people may only be considering the feature now (either only now moving to 6.1 or 7, or 8), I want to share some resources if you're new to it. (The question came up on a list, and I offered the info there, so thought I'd pass it along here.)
First, there are a couple of articles from that time 6.1 frame:
"Introducing Multiple Server Instances in ColdFusion MX 6.1", by Tim Buntel
"Using Multiple Instances with ColdFusion MX Enterprise 6.1" video (sadly, seems no longer available)
Now, CF7 did introduce the new Instance Manager within the Admin, and that (and instances in general) is covered in the CF manual:
Configuring and Administering ColdFusion MX (Chapter 7, "Using Multiple Server Instances")
Finally, there is also a new Adobe article as of CF7:
(Update: There's also now a CF8 version of that: Multiple server instances using Adobe® ColdFusion® 8 Enterprise Edition. The technical content seems identical, but it appears to have had considerable editorial updating.)
There are certainly other articles folks have done in the CFDJ or at CommunityMX.com, but these should get you started.
Even though it's old news to some, it does seem that like many things, use of instances is something that may have been missed by folks. I've been contemplating a new user group presentation on the topic. Nothing new for CF8, but it seems people are considering things now that they may have ignored when 6, 6.1, or 7 came out (which is why I did my daylong class at CFUnited on what was new in 6 and 7 that folks may have missed).
One last point, if those don't make it: if you're running on Windows, don't try to create an instance with a JVM heap greater than about 1.3 GB. Though Windows should allow 2GB per app, this is just a number many found that beyond which CF won't start. Hope that all helps.