Can you log on 2 ID's on a OS X machine at once?

I just purchased a Mac Mini and have created two user ID's on it, one for me and another for my fiancee so that we can have our desktop arranged as we desire, our own mail accounts, etc.
The problem I'm having is it seems I can't log on both at the same time. I can log on one ID but to change to the other it seems I have to select Logoff from the top Apple menu and then log on the other ID. I have used Windows XP in the past and know I was able to have two ID's logged on at once and could switch between them. Is there a way to do this on OS X?