How many applications do you open at one time on you Mac? One? Not likely. Ten? Possible. My MacBook white always runs at least three applications at a time, with several windows for each and a constant switching among them.
I’m not much of a mouse person. I prefer to use keyboard and shortcuts whenever possible. So, two of my favorite combination of keys are Command + Tab to switch between apps and Command + Tilde (~) to switch between windows in one app.
Personally I don’t feel this two steps process as a problem – maybe like a more organized way of working. But for recent Windows switcher the process could feel a bit annoying. There’s an easier way, though. Use Witch, a small application from Peter Maurer which behave similar to Alt + Tab in Windows – switching between windows of all open applications.