from what i've heard: no. they'll just save the state of an application when they switch. it'll not be multitasking.
Microsoft announced several new Windows Phone 7 features coming in 2011, including a “dramatically enhanced” browser experience based on Internet Explorer 9; additional multitasking capabilities; support for Microsoft Office documents in the cloud; and the addition of Twitter to the People Hub. The expanded capabilities announced today include: • Copy and paste functionality via first major update, coming in the next month • Twitter integration directly into the People Hub in 2011 • Support for Office documents in the cloud in 2011 • Dramatically enhanced Web browser experience based on IE9 in 2011 • A new wave of multitasking applications in 2011