If you press Cmd-Tab, then let go, and press Cmd-Tab again, yes, you get back to the first application you were in.
If you press Cmd-Tab, hold Cmd, and keep hitting Tab, you cycle through the available applications.
If you press Cmd-`, get the window you want, and do something in it, then press Cmd-` again, you get back to the first window you were in.
If you press Cmd-` repeatedly, you cycle through the available windows of the active application.
There is a slight difference in how you trigger the two behaviours—and the behaviour of Cmd-` can sometimes be a little opaque, I grant, since "do something in the window" is not always 100% clear, either to the user or the computer—but they do have analogous behaviours.
If you press Cmd-Tab, hold Cmd, and keep hitting Tab, you cycle through the available applications.
If you press Cmd-`, get the window you want, and do something in it, then press Cmd-` again, you get back to the first window you were in.
If you press Cmd-` repeatedly, you cycle through the available windows of the active application.
There is a slight difference in how you trigger the two behaviours—and the behaviour of Cmd-` can sometimes be a little opaque, I grant, since "do something in the window" is not always 100% clear, either to the user or the computer—but they do have analogous behaviours.