Selective attention contributes to perceptual efficiency by modulating cortical activity according to task demands. The majority of attentional research has focused on the effects of attention to a single modality, and little is known about the role of attention in multimodal sensory processing. Here we employ a novel experimental design to examine the electrophysiological basis of audio-visual attention shifting. We use electroencephalography (EEG) to study differences in brain dynamics between quickly shifting attention between modalities and focusing attention on a single modality for extended periods of time. We also address interactions between attentional effects generated by the attention-shifting cue and those generated by subsequent stimuli. The conclusions from these examinations address key issues in attentional research, including the supramodal theory of attention, or the role of attention in foveal vision. The experimental design and analysis methods used here may suggest new directions in the study of the physiological basis of attention.