I have my taskbar down one side of the screen, and when I want to work on something, I click on the thing I want to work on and work on it.
This is only an efficient way of doing this if each `thing I want to work on' maps onto a single application, or a single window.
What if you're working on a number of projects, each of which requires the use of a spreadsheet, a graphics program, a web browser, and some software for writing or presenting? If you assign each project to a separate virtual desktop then switching between these projects is a one-click operation. Without virtual desktops, you spend a lot of time hunting through windows.