There's one scenario that annoys me every day.

I have Firefox and Eclipse in separate desktops. While in Eclipse, I select "Check for Updates" and let that run in the background. I switch to the Firefox desktop. Eventually, the update check completes and displays a dialog in the Firefox desktop, usually saying that there are no updates available. I can't do anything in that dialog, all I can do is give it focus, even if I click the "OK" button on that dialog. The second I do that it jumps to the Eclipse desktop, but the dialog is not there. I then switch back to the Firefox desktop, where the dialog resides. I click OK to dismiss it, which makes it immediately jump back to the Eclipse desktop. I finally switch back to the Firefox desktop.

I've tried several variations of the "when activating a window on another desktop" dropdown, but that doesn't appear to make any difference.