I figured out a solution for this annoying problem:
Download HButton here
HButton - PocketPC Button Enhancer
You can use any Alt-Tab style switcher. PMH AltTab.exe also works but HButton is the most effective for this purpose because you can program it so that no extra window pops up and you can eliminate the delay time.
In HButton Setup Tasks options set the "First app is" option to "last accessed" and uncheck the other boxes and have 0 delay.
use SKTools or another Notification editor (WakeApp.exe is a good free one, use the events tab in that program) and add a new notification for "wake up" and set the file path to the path for the HButtonTask.lnk (\Windows\Start Menu\Programs\HButton\HButtonTask.lnk)
Problem solved!!
The Today Screen will flash for a second and then you will be back to where you were when you turned off the device.