Initiating a game on Steam will annoyingly pause all of your active downloads but at least there's been the option to alt-tab your way back and manually resume downloading. It's a workaround that shouldn't need to exist, and Valve is finally making progress here.
A recent Steam client beta update adds the option to let games download while a game is running. There's only one small problem: the feature is on a per-game setting. So it's still not as seamless a process as it could be. The update also includes improvements to the user interface, Big Picture mode, and the Steam client for Linux -- find the list below or at that link.
Steam client UI
Conflicks has a great alternate history setup with anachronistic space colonialism
7:00 PM on 07.23.2014