The multi-armed bandit problem with switching penalties (switching cost and switching delays) is investigated. It is shown that under an optimal policy, decisions about the processor allocation need to be made only at stopping times that achieve an appropriate index, the well-known "Gittins index" or a "switching index" that is defined for switching cost and switching delays, An algorithm for the computation of the "switching index" is presented. Furthermore, sufficient conditions for optimality of allocation strategies, based on limited look-ahead techniques, are established, These conditions together with the above-mentioned feature of optimal scheduling policies simplify the search for an optimal allocation policy. For a special class of multi-armed bandits (scheduling of parallel queues with switching penalties and no arrivals), it is shown that the aforementioned property of optimal policies is sufficient to determine an optimal allocation strategy, In general, the determination of optimal allocation policies remains a difficult and challenging task.