Add \ to the end of each line
It's simple... add a \ to the end of each line with nothing after it and you have a multi-line string:
var s = "abc\ def\ ghi\ jkl";
Now display the above:
Note that the newlines are not rendered at all, so you need to make sure the appropriate spacing or line breaks (\n) etc are present in the string.
Another approach I found is shown below, but as far as I can tell it only works in Firefox 2+ and not at all in IE, Opera, Chrome and Safari.
var s = (<r><![CDATA[abc def ghi jkl]]></r>).toString();
This does render the line breaks so if you used window.alert on the above it would show:
abc def ghi jkl
So don't use the second approach due to lack of browser support :)