Command + Tab does not work consistently on MacOS
Open Terminal and type
killall Dock
Hit return.
Your Dock will disappear for a second and then reappear but open apps will not be affected.
Try Cmd+Tab now.
On MacOS you would get best switching experience if you DO NOT MINIMIZE your windows.
Command + Tab : to switch to windows that are not minimized
Command + Tab followed by Option : to switch to a minimized window
When I asked this question, I was a newbie MacOS user with years of Windows experience.
Now, it feels like MacOS design is optimized towards leaving your windows open (irony)
If you're running a Virtual Machine manager like VirtualBox sometimes it seems that an open Virtual Machine window grabs the ⌘ key (which is often used switch from VM keyboard capture mode).
In this case you'll need to bring the VirtualBox Console window up (e.g. using the Dock bar) and tap the ⌘ key again and it should release it properly.