Although Apple took a couple of years to implement system-wide multitasking in iOS, it seems to do the trick. It's easy to access the multitasking bar from any application, and for the most part, apps running in the background don't slow you up.
Note that I said for the most part. It seems like once you have 10 or more apps running, your iPhone starts to feel a bit sluggish. And to close them all one by one can be a tedious task. So why not download a jailbreak utility that'll do it for you in one step?