I'm alternating duties with one other DM in one of the groups I play with. We've been playing Paizo APs for a long time now -- sticking with a prepared AP like that has helped us manage the exchange of DMing duties, but we're chafing under the need to keep things pretty much as written so the next DM can pick up where the other left off.
We're finishing Rise of the Runelords a week from sunday -- and our plan for the 4e future is to take turns DMing 5-level minicampaigns. We'll each spend a bit longer in the DMing chair (about twice as long) but we hope that will give us enough time to develop interesting story arcs that can be completed before the campaign is passed off to the other DM, whose story and even campaign world don't need to match up at all with the other DM's, although we do plan to keep to a schedule of advancement so the players can keep the same characters from one campaign to the next if they wish.
We've really mostly enjoyed the experience of sharing the DMing duties in this way -- we both like to play and DM both, and this helps us do that. One of the possible problems is that there's vague pressure for us to play characters that serve roughly the same role in the party, and we have very different tastes (he likes clerics, I like rogues). In our Age of Worms campaign, I ended up playing a cleric when he was DMing because there wasn't another healer type in the party, and while I had a good time, I would have much prefered feeling like I didn't need to play the same class as my co-dm to maintain a sort of party balance.
In Runelords we've been able to play different classes a bit better, mostly because the other players have made choices that cover the bases pretty well. But the differences between characters makes a pretty big difference for the party. (For example, my Crusader made an excellent flanking partner for the rogue; the dragon shaman that the other DM plays when it's his turn doesn't, and there isn't another party member that steps into that role very easily, so when I'm not there the rogue's efficacy is much more limited).
-rg