I’ve been working for quite a while with Apple Mac OS X. As a former Windows user I missed the possibility to switch between windows of the same application with an keyboard shortcut.
Cmd + TAB only changes between the open applications and does not replace the alt + TAB, which is known from Windows.
At least in the most recent version of OS X you can use cmd + > (german keyboard layout, cmd + ` with US layout) to change between windows of the same application. You can change this shortcut in the System preferences: System Preferences -> Keyboard -> Keyboard Shortcuts -> Keyboard & Text Input