If you prefer being able to focus on one application at a time, you may find this hint useful -- it sets the Dock to automatically hide every application other than the one you're switching into. So when you click on Mail, for instance, the effect is as though you activated Mail and then chose Mail -> Hide Others (or pressed Command-Option-H).

To enable this switching mode, open Terminal and type these commands:

$ defaults write com.apple.dock single-app -bool TRUE
$ killall Dock

From now on, clicking on an application in the Dock will hide all other open apps while switching to the selected application. You will not see this behavior if you use Command-Tab to switch, or click directly on another application's windows. To disable the feature, repeat the above commands, but replace TRUE with FALSE. (Alternatively, you can delete the entry entirely with defaults delete com.apple.dock single-app.) Remember to restart the Dock as well.

For an easier method of implementing this feature, see this hint.