To just switch to a command-line window, ctrl+alt+f1, which will switch to virtual terminal 1.
Your GUI session will still be running (usually on VT7, alt+f7 to switch back to it).
If you want to kill off X completely, then you need to change runlevel. In a terminal:
This will switch to runlevel 3, although the actual runlevel you want may vary depending on your configuration. Multi-user without X could be 2, 3 or 4 depending on your distribution.
The boot-up default is stored in the /etc/inittab file, (initdefault, I think it's called) but can be overridden in the kernel command-line: look in the .conf files in /boot, or else /etc/grub.conf or /etc/lilo.conf; again, it depends on your distribution. You may also have to run other commands if you change these for your settings to take effect.
There's also a quick-and-dirty hack you could use: Press ctrl+alt+delete to kill X. It will re-spawn, but if you kill it often enough then it will wait for about 15 minutes before trying to start it again.