Alt-Tab works completely on remote box when Remote Desktop Connection is opened in full screen mode.
You can use also the following special Remote Desktop key combinations:
Alt + Page Up
Switches between programs from left to right.
Alt + Page Down
Switches between programs from right to left.
Alt + Insert
Cycles through the programs in the order they were started.
Alt + Home
Displays the Start menu.
Ctrl + Alt + Break
Switches the client between a window and full screen.
Ctrl + Alt + End
Opens the Microsoft Windows NT Security dialog box
Ctrl + Alt + Pause
Toggles between fullscreen and windowed mode
(note that this does not set the client desktop to the correct size)
Alt + Del
Displays the Windows menu
Ctrl + Alt + Num -
Places a snapshot of the client's active window on the clipboard
Ctrl + Alt + Num +
Places a snapshot of the client's entire desktop area on the clipboard