Mac OS X: Command-Tab doesn't switch back to fullscreen app

Open System Preferences and open the Mission Control preferences. Check When switching to an application, switch to a space with open windows for the application.

To get back to a full-screen app, hit ⌥→ (or ⌃→).

You can use ⌥ and a number key or ⌥← or ⌥→ to scroll back and forth. It's annoying – especially if you're coming from Windows – but you get used to it eventually.