One is a longtime Windows favorite: the Alt-Tab key combination. Press it, and as with previous versions of Windows, a strip of thumbnails of your running programs appears. While holding down the Alt key, keep pressing the Tab key until you come to the thumbnail of the program you want to run. Release the keys, and you'll switch to that program.
The old standby, Alt-Tab, works in Windows 8. Click to view larger image.
Another way to switch among your running apps is to move your mouse pointer to the upper-left corner of the screen (called a "hot corner"). A small thumbnail appears of the last app you were running, or where you last were. Click it to switch there. Keep clicking, and you'll cycle through all your apps and open locations.
There's a caveat, though: You won't cycle through all your Desktop apps. If you've got three Desktop-related items running, only the last app that was opened full screen, or else the Desktop itself, will appear in the upper-left corner. It's just one more example of the Desktop's afterthought status in Windows 8. (See "Meet the Start screen" for the differences between Desktop apps and Windows 8 apps.)
Here's another navigation trick to try: Move your mouse pointer to the upper-left hot corner until the thumbnail of your previous location appears, then move the mouse pointer down. You'll see thumbnails of all of your running apps. Click any to switch to it. However, the same caveat holds here about Desktop apps. Even if you've got multiple Desktop apps running, you'll see only a single Desktop-related thumbnail, either the last full-screen Desktop app you were running on the Desktop itself.
Viewing thumbnails of open apps in Windows 8. Click to view larger image.
As I've mentioned before, pressing the Windows key acts as a location toggle between the Start screen and the place you last were before going there. If you're a fan of the mouse rather than the keyboard, you can do the same thing by moving your cursor to the lower-left corner of the screen. A small thumbnail of the Start screen appears (or if you're at the Start screen, of where you were previously). Click it to go there.