Switching Users?

I'm a fairly new Convert to OS X.. From the evil world of WinXP.. I've gotten used to being able to use the "Switch User" feature in XP to share the computer between family members. It's often nice to be able to leave my downloads running in the background, or whatever I had been working on at the moment without having to save and close everything. Anyways, I don't seem to be able to find that feature on OS X, maybe I'm not looking in the right place.. I only find a "Log Out" option.. Is this feature not available? If it is, where can I find it, how do I get to it?
Thanks.

System Preferences -> Accounts

Click the Plus (+) sign to add a user (you can't switch unless you have more than one user).

Once the account is created, click the "Login Options" at the bottom of the Accounts window.

Check "Enable Fast User Switching."

From now on, your userid will appear in the upper right corner; click it to switch users.

You're done!

p.s. My fiancee moved here from Bremerton. I love the Seattle area.

This is a great tip. I was wondering about this myself, and knew it had to be possible. I used user accounts in XP to create guest accounts for family members that might need to use the computer (or for the babysitter, etc). Being able to switch to a "Demo" account on the fly is handy too, especially for client presentations. Thanks!

Even better, it's good to create an account with the username "Apple" if you ever find yourself having to leave your computer at the Genius Bar or sending it back to Apple for service.

Of course, it won't stop prying eyes if someone really wants to look at your data, but at least they won't stumble across your Quicken file "accidentally."