When ALT-Tabbing. You can still use many commands.
Try for example CMD+Q to kill the selected program. Very handy to kill most programs before planning on restarting or such.
Another favorite is CTRL+F2, which gives focus to the menubar. Very handy =)
it took me a while to get the hang of this one on my french keyboard : apple-tab to cycle through the apps and then shift-A to quit them !