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Thanks for mentioning Cmd-Shift-~. It always annoyed me that pressing Cmd-~, releasing, then Cmd-~ again doesn't take you back to the first window (unlike Cmd-Tab). Now I can use this to go back.

I use this, but cycling through all of my windows drives me crazy. I've found Witch (http://manytricks.com/witch/) useful for switching between windows, but it can be a bit slow to load -- I wish OS X had an inbuilt system like it.

I use this frequently. Unfortunately it doesn't work with Photoshop.

The reverse does. cmd+shift+~