Displaying equation with a line break and all subsequent lines indented

The mathtools provides the \MoveEqLeft function which achieves exactly what you want. By default, it indents subsequent lines by 2em and it can be further customized with \MoveEqLeft[<number>] which will indent subsequent line by <number> ems:

\documentclass{article}
\usepackage{amsmath}
\usepackage{mathtools}

\begin{document}
\begin{align}
  \MoveEqLeft |f_{n}(x)g_{n}(x) - f_{n}(x)g(x) + f_{n}(x)g(x) - f(x)g(x)| \\
  &\leq |f_{n}(x)g_{n}(x) - f_{n}(x)g(x)| + |f_{n}(x)g(x) - f(x)g(x)| \\
  &= |f_{n}(x)||g_{n}(x) - g(x)| + |g(x)||f_{n}(x) - f(x)| \\
  &\leq M_{1}\epsilon + M_{2}\epsilon \\
  &= \epsilon(M_1+M_2) \longrightarrow 0 \text{ as } n \to \infty
\end{align}      
\begin{align}
  \MoveEqLeft[4] |f_{n}(x)g_{n}(x) - f_{n}(x)g(x) + f_{n}(x)g(x) - f(x)g(x)| \\
  &\leq |f_{n}(x)g_{n}(x) - f_{n}(x)g(x)| + |f_{n}(x)g(x) - f(x)g(x)| \\
  &= |f_{n}(x)||g_{n}(x) - g(x)| + |g(x)||f_{n}(x) - f(x)| \\
  &\leq M_{1}\epsilon + M_{2}\epsilon \\
  &= \epsilon(M_1+M_2) \longrightarrow 0 \text{ as } n \to \infty
\end{align}      
\end{document}

Is this what you want?

\begin{align*}
  &|f_{n}(x)g_{n}(x) - f_{n}(x)g(x) + f_{n}(x)g(x) - f(x)g(x)| \\
  &\qquad \leq |f_{n}(x)g_{n}(x) - f_{n}(x)g(x)| + |f_{n}(x)g(x) - f(x)g(x)| \\
  &\qquad = |f_{n}(x)||g_{n}(x) - g(x)| + |g(x)||f_{n}(x) - f(x)| \\
  &\qquad \leq M_{1}\epsilon + M_{2}\epsilon \\
  &\qquad = \epsilon(M_1+M_2) \longrightarrow 0 \text{ as } n \to \infty
\end{align*}

If you use mathenv of the mdwtools collection, you can use the enhanced {eqnarray} environment. It takes optional column specifiers:

• r, c, l for right-justified, centered, and left-justified math;
• L for left-justified math that is considered to have width 2em;
• and more (read the documentation) so you can completely emulate the functionality of amsmath environments like {align} and others.

Here, you'd use

\documentclass{article}
\usepackage{amstext}
\usepackage{mathenv}

\begin{document}
\begin{eqnarray*}[Ll]
|f_{n}(x)g_{n}(x) - f_{n}(x)g(x) + f_{n}(x)g(x) - f(x)g(x)| \\
&\leq |f_{n}(x)g_{n}(x) - f_{n}(x)g(x)| + |f_{n}(x)g(x) -
f(x)g(x)| \\
&= |f_{n}(x)||g_{n}(x) - g(x)| + |g(x)||f_{n}(x) - f(x)| \\
&\leq M_{1}\epsilon + M_{2}\epsilon \\
&= \epsilon(M_1+M_2) \longrightarrow 0 \text{ as } n \to \infty
\end{eqnarray*}
\end{document}