there are plenty of multi-threading (and event-polling) occuring in games, both in PC and in consoles.
think about it, how do you think sound / music is played WHILE other actions are taking place? in network-enabled modes, how do you think other players are able to make actions while you make actions "at the same time"?
the answer is multi-threading or event-polling.
either way, both are a kind of resource-sharing occuring [ideally] at split-second intervals to give the illusion of multi-threading. even with symmetric multi-processor systems, the operating system's kernel has to run in a "single-threaded" manner and assign processes [if able] to a "free" processor.
so to answer the question, "is there multi-threading in games?" sure there is. plenty of it! some systems use "real" multi-threading, some use event-polling. either way, it's being done.
and like Nick writes, you can accomplish challenging things with careful design.