I completely disagree when people say "yes, multi-tasking is normal"
It's not normal! Not at all, it's very unnatural for a developer to multi-task in several projects (I'll explain more later on). On the other hand multi-tasking is very common among developers. This is definitely something you should get used to. So the real answer to your question is: how to multi-task?
First of all, you shouldn't simply accept your fate because "you are such an excellent employee" and that means you need to take more tasks than you can handle. Not at all, you don't. Sometimes people are given multiple tasks because there's nobody else. Sometimes managers can't handle their work so they delegate, enforcing multi-tasking on their team because they can't handle their project schedule properly. So you should definitely try to determine if you're being asked to multi-task because it's part of your job or because other people are being incompetent. Either way, you can judge for yourself if that's acceptable or not. If you're not comfortable [with your job], there are other places you can go find work. [You, the developer, are the commodity. Employers know this and pray that you never realize it.]
Now about multi-tasking, I disagree 100% when people say "yes, just switch back and forth and make sure you're doing the same amount on each project". Sorry but that's a very bad advice.
First you must realize how your brain works when you're developing a software (I know there are other tasks involved but let's focus on that one). You first need to get "wired", meaning you need to concentrate a lot and get your mind in a position where you have everything mapped in your head. All variable and method names, the workflow of your code, the object model, the threads going side by side, everything. Usually takes me 15 maybe 20 minutes to get "in the zone".
When you get to that state you're really flying off and writing code like you are riding a bike. The moment you get interrupted you can lose it all. If the interruption is long enough (5, 10 maybe 30 minutes) you will lose that state of mind and will have to start all over.
So multi-tasking is terrible because it forces you to leave "the zone" and move on to something else. If you are constantly switching that means you're not being productive because every time you change to a new task/project you need to lose those 15-20 minutes to get in the zone again (not mentioning it melts your brain slowly).
It's like multi-threading: at some point the cost of switching the thread context every couple cycles is too high so the CPU ends up spending more time switching contexts than executing the real tasks.
I highly recommend reading an article from Joel Spolsky on this matter:
So my advice is: try learning how to (not) multi-task because it is indeed common. But also make sure you're comfortable doing it. Some people can take more time to concentrate and will suffer more than others when multi-tasking; and that's ok too. It's not because it's common that it should be considered normal.
Joel put it well when he said:
In fact, the real lesson from all this is that you should never let people work on more than one thing at once. Make sure they know what it is. Good managers see their responsibility as removing obstacles so that people can focus on one thing and really get it done.