Since 0.7.0, the so-called NoAI framework was introduced into OpenTTD, which allows users to create their own AIs. These AIs can be handled in the AI settings window.
First of all, you have to download some AIs via the Online content system. Click the Check Online Content button in the main menu and you are able to download them. Further AIs can be found on the NoAI forum.
After you downloaded AIs, click the AI settings button in the main menu. There you can configure the number of AI competitors in the game, and then choose an AI for each company slot. Click on one of the company slots, then click Select AI. In the new window, you will see a list of the downloaded AIs. Pick one, and then click Accept.
If you click on a company slot, and then you click Configure, the AI configuration window opens.
These settings (except the first one) are added individually by the different AI authors, and they determine the playing style of that AI. You can use multiple instances of the same AI with different settings.