Windows only: Tiny, portable utility Wheel Here switches between windows by simply moving your mouse over another window and scrolling the mouse wheel—so you can easily switch applications.
The idea behind this application is that you normally need to switch to another window before you can scroll the window, or in the case of a media player, increase or decrease the volume. Once you've launched the no-installation-required Wheel Here utility, moving the mouse pointer over another window and scrolling the wheel will immediately bring the other window to the foreground. It takes a bit to get used to switching between windows this way, but once you get used to it, you'll find it to be very helpful—especially if you are a multiple monitor user.
Wheel here is a free download, works on Windows only. If you'd rather be able to switch between windows without moving the wheel, you can configure Windows to switch between applications by pointing to them.