From my favourite window manager (WindowMaker) I am used to switch applications via ALT+TAB and then select the icon via mouse or arrow keys.
In gnome I couldn’t find a way to configure it with arrow keys (compiz enabled), but I found a way to switch via mouse.
sudo apt-get install compizconfig-settings-manager
Then execute ccsm. Now you should go to the configuration of the “static application switcher”. Under Behaviour (in German ‘Verhalten’) you should see sth. like activate mouse selection (‘Erlaube Mausauswahl’). That’s it
Happy application switching! And tell me if you find a way to switch with arrow keys!