Is there any way of change current window in OS X? Coming from Windows I am missing some features like changing current window with a combination of keys. I mean, I know that you can switch app with cmd + tab but sometimes you want to go to another browser window or something like that. I know you can use gestures in order to display all current app windows but I would like to do it with a key or something like that.

Thanks
Mission Control handles window selection and visualization. Open that preference pane and look at the Application Windows keyboard shortcut.

Control down arrow (or in the trackpad preferences enable App Exposé - three finger swipe down) to activate the picker.


Enhancement for switching inside a program on OS X


From there you can select a window or arrow key left right to the window you desire.


command + [ or ] will switch to the next / previous window 
command + { or } will switch to the next / previous tab within a window


Some applications - terminal is a notable one - define menu items to select the next window in turn. If they do, you can usually override the keyboard shortcut if you don't like the ones they chose by default.

Apple's window manager isn't a perfect fit for the design idiom of windows, but in this case, it's pretty close once you re-train your expectations to having all the windows one tap away.