OS X Keyboard shortcut to cycle between application's active windows

Open System Preferences » Keyboard » Keyboard Shortcuts » Keyboard and Text Input. Look for Move focus to next window in application and change if necessary.

The reverse direction is when you additionally press Shift AFAIK.

This does not seem to work in 10.7.5 when using a non-US (I am using Swedish) keyboard layout (on my MBP). Cycle backwards (⌘⇧`) works (but only when the focus is not a text input field - tested in Chrome).

Anyway, you can change this setting to ⌘< in the same location as described in the previous answer. The problem seem to be that in many non-US layouts ` is a dead key that you typically combine with other characters such as e è and i ì while in the US layout you have to press ⌥` to make it a dead key that can be combined with other characters.