Cycle through the programs until you get to the one you want, then release all keys. You can add SHIFT to the mix if you want to go through the list in reverse order.
If you are on a Mac, use the Apple key instead of ALT.
This shortcut is very handy if you frequently need to switch between say a browser and a spreadsheet to enter data. This keyboard shorcut is by far the most used in my computer life, put it to good use in yours!
Update: Thanks to one of our Apple enthusiats in the comments for the following: On newer Mac laptops with multitouch trackpads, swipe to the right or left with 4 fingers to switch between open applications. Swiping up or down with 4 fingers launches Exposé, which shows all open applications.