Q: How do I run an application in the background while I switch between users on OS X

I am streaming XM to my house audio from OS X /Safari (could be iTunes, Pandora - doesn't matter).  My configuration of the OS X shell has multiple user accounts.  When I switch between users, the application, in this case the music, is suspended and no longer has access to the system resources to continue processing/playing.  Is this a limitation of the user shell or are there some workarounds so it can continue working in the background?  After all, this is a multi-tasking, multi-threaded operating system, right?