I personally don't like the idea but I suppose it may well have to do with the topic of my forum. For a beginning forum, however, it may be better to NOT display it. Might deter new membership when they see '0 members online'. ;)
If you're looking for something sitewide, you just have to make a simple script to count how many different IPs have viewed any page on the site within, oh, say five minutes, if you figure that's how long it takes to read the content on a page. That's pretty much what the scripts inside BBS packages do.
Depending on how long a threshold you allow, this might artificially inflate the actual # of people you have listed as being "actively" on site. But hey, This is the net. Creative statistics are what keep people like epinions going ;)
I kind of like checking out this kind of stat when I visit other forums, but I don't know if I would want to display it on mine. I guess if you have a very successful forum you could impress people with the number, but otherwise it's just another database query to slow down page deliver.