Pretty simple to do. Default mode is failover with higher pools in the list having higher priority.
-o firstpoolurl -u usernameforpool1 -p passforpool1 -o secondpoolurl -u usernameforpool2 -p passforpool2
or
make a cgminer.conf that looks like this (change url's I'm lazy) and leave out -o -u and -p from your command line
{
"pools" : [
{
"url" : "http://minebbq.dontmine.me:48339",
"user" : "your_worker_name",
"pass" : "x"
},
{
"url" : "http://minebbq2.dontmine.me:48339",
"user" : "your_worker_name",
"pass" : "x"
},
{
"url" : "http://bbq.dontmine.me:2082",
"user" : "your_worker_name",
"pass" : "x"
}
]
}