Here is a little tip that you may find to be useless (if you already use it or you are one who never lets go of your plastic rodent) or amazingly helpful:
In Windows you can use the key combination ALT+TAB to easily switch between running applications and open windows. If you tap the key combo you simply flip over to your previous app or window. If you hold down the ALT key (hold down ALT, tap TAB, and continue to hold down ALT) you get a window that gives you clickable previews of all your running apps. You can keep tapping the tab key to cycle through the apps or just click the one you want.