Will be a feature in Leopard, but works as well with tiger: virtual desktops. Just tried you control: desktops . Which is free for a limited time and then is about 30 bucks. Works great!
UPDATE:Using virtual desktops now since some days, and it has come to a really handy feature: I really think of buying this piece of software although I’m going to get leopard as soon as it comes to the stores.