“Go then, there are other worlds than these.” -Stephen King, The Dark Tower
When you think about the Multiverse, everyone thinks about the Universe beyond what's accessible to us. But whether you think about more Universe like our own, multiple Universe that are disconnected from ours, an infinite number of parallel Universes, where possibly multiple copies of identical "yous" are entangled, or where the laws of physics are different from our own depends on what type of Multiverse you're talking about.
Image credit: Bock et al. (2006, astro-ph/0604101); modifications by me.
As it turns out, our standard picture of inflation, the Big Bang and quantum physics leads to some of these being quite likely, with others being grossly disfavored. Before you follow the speculations of a great many others down whatever rabbit-hole of thought they'd lead you, come learn about what's known, what's expected and what's highly speculative (and unobservable) based on our current knowledge.
Image credit: Moonrunner Design, via http://news.nationalgeographic.com/news/2014/03/140318-multiverse-infla….
I would have to pass on the 'entanglement' aspect since I have no conscious connection to other lives in other places (universes).