MultiSelectListPreference for devices running Android in the API earlier than level 11. Support ChangeListener receiving list of selected values. Supports automatically setting of summary. Examples attached.

ExamplePartOfActivity.java

private static OnPreferenceChangeListener autoOnChangeListener = new OnPreferenceChangeListener() {
	
	@Override
	public boolean onPreferenceChange(Preference rawPreference, Object newValue) {
            List<CharSequence> selected = Arrays.asList((CharSequence[]) newValue);
            if (selected.contains("1")) {
                // do some work
            }
            return true;
	}
};

MultiSelectListPreference.java

package pl.wavesoftware.widget;

import java.util.ArrayList;
import java.util.Arrays;
import java.util.Iterator;
import java.util.List;

import android.app.AlertDialog.Builder;
import android.content.Context;
import android.content.DialogInterface;
import android.content.DialogInterface.OnMultiChoiceClickListener;
import android.content.res.TypedArray;
import android.preference.ListPreference;
import android.util.AttributeSet;

public class MultiSelectListPreference extends ListPreference {

    private String separator;
    private static final String DEFAULT_SEPARATOR = "\u0001\u0007\u001D\u0007\u0001";
    private boolean[] entryChecked;

    public MultiSelectListPreference(Context context, AttributeSet attributeSet) {
        super(context, attributeSet);
        entryChecked = new boolean[getEntries().length];
        separator = DEFAULT_SEPARATOR;
    }

    public MultiSelectListPreference(Context context) {
        this(context, null);
    }

    @Override
    protected void onPrepareDialogBuilder(Builder builder) {
        CharSequence[] entries = getEntries();
        CharSequence[] entryValues = getEntryValues();
        if (entries == null || entryValues == null
                || entries.length != entryValues.length) {
            throw new IllegalStateException(
                    "MultiSelectListPreference requires an entries array and an entryValues "
                            + "array which are both the same length");
        }

        restoreCheckedEntries();
        OnMultiChoiceClickListener listener = new DialogInterface.OnMultiChoiceClickListener() {
            public void onClick(DialogInterface dialog, int which, boolean val) {
                entryChecked[which] = val;
            }
        };
        builder.setMultiChoiceItems(entries, entryChecked, listener);
    }

    private CharSequence[] unpack(CharSequence val) {
        if (val == null || "".equals(val)) {
            return new CharSequence[0];
        } else {
            return ((String) val).split(separator);
        }
    }
    
    /**
     * Gets the entries values that are selected
     * 
     * @return the selected entries values
     */
    public CharSequence[] getCheckedValues() {
        return unpack(getValue());
    }

    private void restoreCheckedEntries() {
        CharSequence[] entryValues = getEntryValues();

        // Explode the string read in sharedpreferences
        CharSequence[] vals = unpack(getValue());

        if (vals != null) {
            List<CharSequence> valuesList = Arrays.asList(vals);
            for (int i = 0; i < entryValues.length; i++) {
                CharSequence entry = entryValues[i];
                entryChecked[i] = valuesList.contains(entry);
            }
        }
    }

    @Override
    protected void onDialogClosed(boolean positiveResult) {
        List<CharSequence> values = new ArrayList<CharSequence>();

        CharSequence[] entryValues = getEntryValues();
        if (positiveResult && entryValues != null) {
            for (int i = 0; i < entryValues.length; i++) {
                if (entryChecked[i] == true) {
                    String val = (String) entryValues[i];
                    values.add(val);
                }
            }

            String value = join(values, separator);
            setSummary(prepareSummary(values));
            setValueAndEvent(value);
        }
    }

    private void setValueAndEvent(String value) {
        if (callChangeListener(unpack(value))) {
            setValue(value);
        }
    }

    private CharSequence prepareSummary(List<CharSequence> joined) {
        List<String> titles = new ArrayList<String>();
        CharSequence[] entryTitle = getEntries();
        CharSequence[] entryValues = getEntryValues();
        int ix = 0;
        for (CharSequence value : entryValues) {
            if (joined.contains(value)) {
                titles.add((String) entryTitle[ix]);
            }
            ix += 1;
        }
        return join(titles, ", ");
    }

    @Override
    protected Object onGetDefaultValue(TypedArray typedArray, int index) {
        return typedArray.getTextArray(index);
    }

    @Override
    protected void onSetInitialValue(boolean restoreValue,
            Object rawDefaultValue) {
        String value = null;
        CharSequence[] defaultValue;
        if (rawDefaultValue == null) {
            defaultValue = new CharSequence[0];
        } else {
            defaultValue = (CharSequence[]) rawDefaultValue;
        }
        List<CharSequence> joined = Arrays.asList(defaultValue);
        String joinedDefaultValue = join(joined, separator);
        if (restoreValue) {
            value = getPersistedString(joinedDefaultValue);
        } else {
            value = joinedDefaultValue;
        }

        setSummary(prepareSummary(Arrays.asList(unpack(value))));
        setValueAndEvent(value);
    }

    /**
     * Joins array of object to single string by separator
     * 
     * Credits to kurellajunior on this post
     * http://snippets.dzone.com/posts/show/91
     * 
     * @param iterable
     *            any kind of iterable ex.: <code>["a", "b", "c"]</code>
     * @param separator
     *            separetes entries ex.: <code>","</code>
     * @return joined string ex.: <code>"a,b,c"</code>
     */
    protected static String join(Iterable<?> iterable, String separator) {
        Iterator<?> oIter;
        if (iterable == null || (!(oIter = iterable.iterator()).hasNext()))
            return "";
        StringBuilder oBuilder = new StringBuilder(String.valueOf(oIter.next()));
        while (oIter.hasNext())
            oBuilder.append(separator).append(oIter.next());
        return oBuilder.toString();
    }

}

preferences_example.xml

<PreferenceScreen xmlns:android="http://schemas.android.com/apk/res/android" >
    <pl.wavesoftware.widget.MultiSelectListPreference
        android:defaultValue="@array/pref_autoon_defaults"
        android:entries="@array/pref_autoon_titles"
        android:entryValues="@array/pref_autoon_values"
        android:key="autoon"
        android:persistent="true"
        android:title="@string/pref_autoon_events_title" />
</PreferenceScreen>

strings_activity_settings.xml

<resources>
    <string-array name="pref_autoon_values">
        <item>1</item>
        <item>2</item>
        <item>3</item>
        <item>4</item>
    </string-array>
    <string-array name="pref_autoon_titles">
        <item>If the phone rings</item>
        <item>While traveling</item>
        <item>While charging</item>
        <item>Periodically checks</item>
    </string-array>
    <string-array name="pref_autoon_defaults">
        <item>2</item>
        <item>3</item>
    </string-array>
</resources>

@ercillagorka, the ExamplePartOfActivy has a listener autoChangeListener, and a Preference Object mMultiSelectListPreference . This object will listen to any changes to the preference object mMultiSelectListPreference. If they are some changes in the preference object, you might want to do something

//// ExamplePartOfActivity.java

MultiSelectListPreference mMultiSelectListPreference = new MultiSelectListPreference();
mMultiSelectListPreference.setOnPreferenceChangeListener(autoOnChangeListener) ;

private static OnPreferenceChangeListener autoOnChangeListener = new OnPreferenceChangeListener() {
@OverRide
public boolean onPreferenceChange(Preference rawPreference, Object newValue) {
List selected = Arrays.asList((CharSequence[]) newValue);
if (selected.contains("1")) {
// If they are some changes in the preference object, you might want to do something !
}
return true;
}
};

Line 79 produces the following error:
E/InputEventReceiver: Exception dispatching input event.
E/MessageQueue-JNI: Exception in MessageQueue callback: handleReceiveCallback
E/MessageQueue-JNI: java.lang.ArrayIndexOutOfBoundsException: length=0; index=0
at MyMultiSelectListPreference.restoreCheckedEntries(MyMultiSelectListPreference.java:81)
at MyMultiSelectListPreference.onPrepareDialogBuilder(MyMultiSelectListPreference.java:44)
at android.preference.DialogPreference.showDialog(DialogPreference.java:306)
at android.preference.DialogPreference.onClick(DialogPreference.java:277)
at android.preference.Preference.performClick(Preference.java:994)
at android.preference.PreferenceScreen.onItemClick(PreferenceScreen.java:249)
at android.widget.AdapterView.performItemClick(AdapterView.java:310)