Is there any program or way to make Mac OS X's ⌘-Tab behave like Windows' Alt-Tab?

Use ⌘ Command+Tab to switch between different open applications and ⌘ Command+` (backtick) to switch between multiple open windows of a single program.

Hyperswitch is another application to switch between all open windows of all open applications like in Windows/Linux. It defaults to using alt+tab so that you can still use the default ⌘ command+tab switching, but you have the option of overriding that and can set it to use ⌘ command+tab to replace the default functionality.

It is currently free while it is in beta.

Otherwise you have to do ⌘ command+tab to get to your application, let go of the tab and press 1 to activate the windows of your application, then use the arrow keys (or the mouse) to select the window you want.

Or control+F4 but that doesn't give you the previews - it just cycles open windows.

You can get Witch which makes alt-tab work like Windows switching between windows not apps. However see This question if there are alternatives.

The Apple way is exposé but does require a different way of thinking.