I need to manage CPU-heavy multitaskable jobs in an interactive application. Just as background, my specific application is an engineering design interface. As a user tweaks
Microsoft is working on a set of technologies for the next Version of Visual Studio 2010 called the Concurrency Runtime, the Parallel Pattern Library and the Asynchronous Agents Library which will probably help. The Concurrency Runtime will offer policy based scheduling, i.e. allowing you to manage and compose multiple scheduler instances (similar to thread pools but with affinitization and load balancing between instances), the Parallel Pattern Library will offer task based programming and parallel loops with an STL like programming model. The Agents library offers an actor based programming model and has support for building concurrent data flow pipelines, i.e. managing those dependencies described above. Unfortunately this isn't released yet, so you can read about it on our team blog or watch some of the videos on channel9 there is also a very large CTP that is available for download as well.
If you're looking for a solution today, Intel's Thread Building Blocks and boost's threading library are both good libraries and available now. JustSoftwareSolutions has released an implementation of std::thread which matches the C++0x draft and of course OpenMP is widely available if you're looking at fine-grained loop based parallelism.
The real challenge as other folks have alluded to is to correctly identify and decompose work into tasks suitable for concurrent execution (i.e. no unprotected shared state), understand the dependencies between them and minimize the contention that can occur on bottlenecks (whether the bottleneck is protecting shared state or ensuring the dispatch loop of a work queue is low contention or lock-free)... and to do this without scheduling implementation details leaking into the rest of your code.
-Rick