Any way to lock or switch users on OSX?

Using Leopard. I miss how in Windows you can tell the computer to lock or switch users if you're stepping out for a bit. The only thing I see OS X can do is Log Out, which is not what I want to do. Logging out means quitting the applications I want to keep running.

If you go to System Preferences> Accounts> Login Options you can enable user switching.

As for the other I set my Security settings to ask for my password on waking from sleep or screensaver, and have a hot corner set to start the screensaver - so I just flick to that. There's probably another way though.

EDIT: Found it. When you've enabled switching you can click on your username on the top right and click 'Login Window'.