As Apple continues to NOT support multitasking on the iPhone, it falls to the hackers and jailbreakers to get the job done.
The latest "tale from the dark side" is a one-two attack featuring Backgrounder (which lets you specify which app will run in the background) and the new task switcher interface MultiFl0w. Here's a video demo:
MultiFl0w is currently available through (and soon, Cydia), but if you want it, grab it now: it's currently free on a trial basis, but the cost will soon jump up to US$5.00. (Backgrounder is still a freebie.)