Right now it appears on whatever screen the app I'm switching from is located. If I while alt-tabbing I accidentally stop on my radio player, located on my alt screen, it's most annoying.
Not having my Alt-Tab window on my primary screen was a huge annoyance for me when I had two monitors. When I noticed my Alt-Tab window had wandered over to the wrong screen, I would invoke this Python script with a keyboard shortcut:
Per http://stackoverflow.com/questions/1181464/controlling-mouse-with-python all it does is act like you have clicked on your primary screen. This is a kludge, sure, and doesn't fix the root issue, but it's the best workaround I could come up with at the time.