Keyboard short-cut to switch language

Apple menu > System Prefrences... > Language & Text. Select your desired languages, check your Input source options, also check Show Input menu in menu bar.

You can now switch languages on the fly.

edit: You can also see the default shortcut for switching, and change it on this page as well.

edit: You can also see the default shortcut for switching, and change it on this page as well.

I guess I could have elaborated more. Shown on that preference panel is the default setting, that are turned off by default. Clicking on the Keyboard Shortcuts link takes you to this window

You can see that you can use a key combination to step thru the list of activated input languages. Backwards= CommandSpace, Forwards=OptionCommandSpace. But when you check to activate them you will see that there is a conflict with Spotlight. You cannot customize these shortcuts, so you have to pick either Spotlight or Text Input Source.