Games, VMWare, other emulators. I wouldn't mind so much if not for the fact that when flipping back to the desktop, all of my windows and icons have been squished and repositioned to fit the resolution of the program I was just running. And it's slow as hell.
weird. I don't get this behavior when I quit out of some game that changes the screen res.
Besides, I much prefer running a somewhat low-res desktop with high-res programs opening on their own screen. Left Amiga+M is instantaneous and depends only on the monitor resyncing. On Windows, try Alt+Tabbing to PowerPoint after you've been working in another program for a while and see how long it takes. Try Alt+Tabbing back from a game to look at another window - if it even lets you.
I don't think I do that at all.
Oh, on a related matter, my usual old chestnut: the ability to have the active window not be the frontmost one - how the Windows/Mac/Linux world hasn't gotten to this one yet is mind-boggling.
Amiga: We still got it (in some areas) 
Well, on the linux side, you can make your windows do whatever the hell you want to. If you want focus to be explicit, you can set it that way. Also, I have always hated active window not being in the forefront.