If you can remember way back on Macs, they used to show a little icon top R. on the screen to show what application you were in at the time. Well handy, doubtless why Apple abolished this useful feature a long time ago.
However, thanks to Eerko Vissering for developing the little application called Focus, which does the same thing. I've used it with Leopard / Snow Leopard for ages. Eerko has updated it to run on Lion / Mountain Lion. Thanks Eerko!
Another application I use all the time is QuickApps. This puts a little icon in your menu bar - click on it to show a dropdown list of all your applications.