Coming from the Iphone, you'll notice that after you close an application, it still runs in the background.
1. Download Advanced Task Killer Free or TaskKiller from the Marketplace
2. Open and close all tasks.
3. Put a shortcut on one of your homescreens, and you can kill all apps on the go.
That should reduce almost all the lag you get.
Froyo will most likely fix it.
So you're probably asking what's the point of having apps run in the background? Well, that means you can run apps like pandora that streams audio, while doing other things like browsing the web and/or play a game.
Quick tip: Press and hold the home button to see your last 6 used apps... switching is not as easy as the Palm Pre but still useful.