It's correctly called Preemptive Multitasking. The "Preemptive" is important. All versions of Windows have had multitasking, in that they allow multiple programs to be executing at once. The thing that's different with OS X is that the OS doesn't have to wait until a program relinquishes control. Instead it switches many times a second between all programs, thus making them all appear to be actually running simultaneously. So, it's not just "multitasking" that's important here. It's "Preemptive Multitasking".
Why OSX is better, reason 4: Can you say multi-tasking?