Usually they build with blocks/MagnaTiles, play with little figures together, or draw side-by-side. They usually play nicely together unless they're playing with a doll/figure they both want; then, there is usually some conflict.
I love it though, because when they're playing with dolls, they're usually constructing a shared imaginary world together. I love listening to them as they play together... it's like becoming a kid all over again!
What do your kids do when they play together?