Right, I think most people will agree this is generally an alright phone, nothing amazing out of the box though! You should be able to run several apps at a time, to be honest though the way the Android system is designed they don't all stay running as you might expect on, say, Windows...Android closes them down if they've not been used for a while, but they load back into memory pretty quickly. You just need to get used to how things work (i.e. pressing the 'back' button will generally close an app, pressing the 'home' button will just return to the home screen, a long press on home opens a list of recently-used apps - rather like a switcher)...
My advice is to head over to Samdroid quickly, read how to install a mod, how to root the phone, get apps2sd running, get multitouch working and go from there.
i would advise installing appbrain as your first app from the market, it will save you a lot of time and energy in future!
Also get LauncherPro or similar as a replacement home, you'll like that too...