Did you know that you can use WIN+L to lock your user, and then ALT+O to switch to another user.
Someone in the guide Slightly Faster User Switching for Windows 7 mentions:
As best as I can tell, there is no simple/direct means to do that in Windows 7... you must always go through a manual step in the login screen. In retrospect, I agree with the Microsoft designers: That is a very good idea.
This describes almost any methods posted so far, except for grawity's suggestion.
But that guy from the guide also mentions:
I should also mention that there is a commercial program (DUST) that purports to enable quicker user switching; however I've read mixed reviews on that software and I (personally) never install time-limited trial software. It's too annoying to deal with.
DUST seems to exactly answer to what you want, it's like doing an ALT+TAB to another session.
But as usual with those kind of tools, they are not free...
Either pick this or grawity's suggestion. ;-)
When I was about to close the tab I quickly checked for compatibility and found another possible solution:
Windows XP/Vista/7 Task Manager
Direct switching is possible through the Users tab of Windows XP/Vista/7 Task Manager by right clicking a disconnected user and selecting Connect. However this does not support saved passwords and always attempts to connect using an empty password, this can be useful but also harmful if there is a bad password limit in force. In addition to it being much slower and less convenient it also means each session ends up having an open task manager on the desktop.
Furthermore under Windows Vista/7, many features on the Users tab require elevation but the options do not have the shield icon nor do they prompt for elevation. Hence it is necessary to elevate the property sheet by clicking the Show processes from all users button on the Processes tab. This causes the property sheet to be replaced by an elevated one where the Show processes from all users button is now a check box, this can be turned off to get the same items displayed as before.
As an alternative you could use Process Explorer which can be minimized to the tray bar.