What happens to bitcoins in a multi-sig transaction if nobody signes? If I transfer my coins using a multi-sig transaction, they will leave my account, but where are they until the other parties sign and they go to the recipient? If nobody signs, do they come back to me?
They stay in the block chain, just as normal transactions do.

Let's look at normal transactions first: When someone (A) sends bitcoins to another person (B), B is not involved in the process at all. A just publishes a transaction in the so called block chain stating that only B is allowed to claim the coins. Not before B wants to spend them, he has to prove that he owns them. This happens by putting the signature for the first transaction into the follow-up transaction.

Thus, every transaction stays unsigned in the block chain until the coins are spend in a follow-up transaction. "Owning bitcoins" means having the ability to sign a transaction in which someone sent bitcoins to me.

Multi-Sig transactions aren't that different, you just need more than one signature. As long as you can't provide them the money is frozen, nobody will be able to spend it.