App-switching confusion on a fresh OS X SnowLeopard 10.6 system
I found an article on cnet.com that suggests restarting the Dock. To do this, launch /Applications/Utilities/Activity Monitor.app, select the Dock process, and press the Quit Process toolbar button.
If #1 doesn't help, the article states that you should try deleting this file: ~/Library/Preferences/com.apple.dock.db and restarting your computer.
A comment on discussion.info.apple.com indicates that removing login items sometimes corrects the problem. To check your login items, open System Preferences, go to Users, select your account, then select the Login Items tab.