After viewing Wade's post on OpenSuse, I decided to try it on my Fedora Core 6, and it also works.
The good question, that naturally comes from it, is:
Why there isn't a checkbox for this on the screensaver preferences dialog?
Because, for Fedora at least, it doesn't quite work the way you expect it to (the WinXP Home way):
1 - It only gives me the opportunity to switch to a different user when asking the password to come back from the screen saver (No 'System' menu entry for switching instead of logging-out is available)
2 - In that screen saver dialog, you can click a button show another one where you can choose another user, but the user id gets asked again as it falls down to the same session manager screen as you would have after a logout.
Even my, then, 5 year-old boy could switch to his account on my WinXP machine, nearly two years ago, but he can't still deal with switching/logging-in in my Fedora machine.
I hope all distros will get user-friendly user switching (and I hope some freedesktop standard will make all of them work the same way) in the near future, but so far Fedora is truly lagging behind.