Switch[expr, , , , , ... ] evaluates expr, then compares it with each of the in turn, evaluating and returning the corresponding to the first match found.
Only the corresponding to the first that matches expr is evaluated. Each is evaluated only when the match is tried.
If the last is the pattern _, then the corresponding is always returned if this case is reached.
If none of the match expr, the Switch is returned unevaluated.
Switch has attribute HoldRest.
You can use Break, Return and Throw in Switch.
See The Mathematica Book: Section 2.5.8.
See also: If, Condition, Which.