Windows: If you want to switch to a different application quickly, Alt+Tab and, in Windows 7, Win+Tab, let you preview and select an open window. But for more direct switching between windows, try Alt+Esc.
Alt+Esc cycles through windows in the order they were opened, bypassing the thumbnail preview. This might be a quicker way to switch between windows if you only have a couple of windows open. You can see this at work in the video above.
What Alt+Esc actually does is drop the active window to the bottom of the pile, while effectively brings the next open window into view; sometimes, however, this means you'll need to click Alt+Esc again to bring the window into focus so you can start typing in it or otherwise actively working in the window.