[robg adds: If you have a multi-button mouse programmed to activate Exposé, you can use this trick to save a mouse click and switch applications really quickly. Just press and hold your "All Windows" mouse button, then move the mouse over to the new app and release the button. Until I read this hint, I had been pressing and releasing the Exposé button, then mousing over to the desired app and clicking on its window to activate. This no-click method is much quicker!]

