Holy cow, I wrote a book!
Windows XP added a new feature called Fast User Switching which lets you switch between users without having to log off. But this feature is disabled if your computer is joined to a domain. Why?
There were several reasons, none of them individually insurmountable, but they added up to quite a lot of work for something IT administrators weren't even sure they wanted. (See a previous entry on retraining costs.)
Those of you who have gotten Longhorn can see that Fast User Switching is now enabled on domains. New infrastructure needed to be developed to enable the feature on domains without ruining the domain administrators' lives.