This is my primary way of switching between recent applications. Take it with a grain of salt, though, as the Android way of dealing with App icons is a world of a difference from iPhone.
Android uses a separate and almost useless alphabetically-sorted application's drawer. You are able to put applications on the home screens, but chances are that you are messing with an application that you don't use very frequently and thus have not placed it onto a home screen. In addition, on stock Android (not rooted/jailbroken), you only have 3 home screens.
Android OS 2.1 increases it to 5 homescreens. In addition, you can put folders on any of the Android homescreens that work almost identically (from what I gather from the description in the article) to the way folders work in iPhone OS4.
I think others have mentioned that you can get 3rd party apps for Android that increase the number of home screen to at least 7. These do not require rooting or anything else unusual, just a quick download from the Market.
WRT the 3 home screens, there are quite a few replacement Home apps that increase it to 7+ - PandaHome, aHome, and Open Home are the first that come to mind.
Android uses a separate and almost useless alphabetically-sorted application's drawer. You are able to put applications on the home screens, but chances are that you are messing with an application that you don't use very frequently and thus have not placed it onto a home screen. In addition, on stock Android (not rooted/jailbroken), you only have 3 home screens.