Our group has done this for a number of years. The campaign world has four DMs, and each DM has a number of players (not necessarily the same players).
Salient points - Consistency, Communications and Record Keeping
Consistency - the rules have to be consistent and enforced. If rule 0 applies for whatever, rule 0 applies throughout the campaign word. If a given spell works this way, it applies throughout.
Communication - DMs have got to talk to each other and hammer out protocols with everything from NPCs to who is the bartender of the favorite waterhole for the PCs. If I use a NPC created by DM 'A', then I talk to DM 'A' about my intended use of said NPC. And any event or incident involving NPC 'A' becomes canon for all DMs. No NPC 'A' doing whatever to the party in under DM 'A' and then having DM 'B' change it.
Record Keeping - each DM had got to record salient events for the other DMs to review. If the PCs burn down the Blazing Griffon inn under DM 'A', then DM 'B' has got to know so that he doesn't have some event staged at the Blazing Griffon inn and having the PCs confused as to whether the Inn burned down or not.
For the four DM of our multi-DM campaign, we have divided the campaign world into areas which a each DM has sole jurisidiction in and we have shared areas in which any DM can run adventures in.
Otherwise, a multi-DM, multi-player campaign setting is alot of fun.