Let's set the record straight, shall we? Seems a lot of people would rather theorise than actually use their device, or read up on readily-available Microsoft documentation.
IE absolutely loads webpages in the background. The Marketplace doesn't stop downloading stuff when you navigate away from it. These first-party services run literally as services, and continue working in the background. That's why they are instant-open.
But now, how do you think Jay's fantastic app pre-loads stories when it isn't in the foreground? Why does your phone have a "background tasks" settings menu? Because third party apps get to use these things called background agents. There are currently two types - resource intensive and periodic.
Periodic runs a non-intensive procedure roughly every 30 minutes, and this is how WPCentral and RSS Central achieve background loading (it's also how many apps update their tiles). I haven't found any apps that use the resource intensive task, since it requires you to be plugged in to an external power source and on WiFi.
Read more about this stuff at MSDN
here. Windows Phone 8 or Windows 8 don't necessarily need to have full multitasking - I think most people would be satisfied with an expansion of available background agents. For example, a VoIP/IRC agent (this is what the iPhone has, and what WP8 presumably will have. It's no black magic) that will keep the connection alive in the background.
What I'd love (but will likely never happen) will be agents for "initial load of app" (so you can start a game that takes 30 seconds to load, switch to something else, then return and have the game loaded) and "finishing data load" (so if you open a Twitter app and navigate away before the content is finished loading, it will continue to pull in your timeline, then terminate when that's done).
My thoughts in summary: no app needs to completely run in the background with no strings attached. I'm fine with it executing something immediately relevant, but it should be frozen after that. Or, a low intensity task can be executed in its place to accomplish functions that require "always-on". The important part is that Microsoft provides a solid range of agents to deal with the many scenarios possible.