In most apps you can switch windows by pressing cmd+tilde and cmd-shift-tilde just like using cmd-tab. In fact, I just tried this with Terminal and it works. That should save you some hassle.

The last point is a philosophical problem (my favourite kind). Though there are many things I like about OS X, this is one of the points where it fails. OS X is application centric. Windows however is document centric. People really don’t care what program they’re using. When one thinks of what to switch to, he most likely has the document in mind and not the program that’s running it. It is a pain in the ass to find a document through Expose or the Dock whereas it’s relatively easy to locate it on the Taskbar, especially because the order in line is fixed.