Is there a shortcut to switch between windows in Xcode?

I had the same problem some time ago.
I solved this way: go in System Preferences of your Mac and choose Keyboard -> Shortcuts & Keyboard. There you find "Move focus to the next window" with a default shortcut.

In Xcode it will be this shortcut in conflict:

However, that shortcut is in conflict with Xcode, so you just need to modify either the Xcode or the system one :)

I guess this has changed recently (I'm on XCode 6.1), but for anyone looking in it's now CMD + ~. See keyboard shortcut to switch project windows in xcode.