I tend to keep a few Terminal windows open in one monitor, and another Terminal window and Chrome open in another monitor.
When I'm using a single monitor, pressing ⌘⇥ remembers which Terminal window was last selected, but when some of the Terminal windows are on one monitor and some on another, ⌘⇥ away from Chrome always goes to the Terminal on the same monitor, not the Terminal on the other monitor, which is the Terminal window I last selected.
TL;DR. Is there a setting I can tweak to get ⌘⇥ to work in multi-monitor mode as it does in single monitor mode, remembering the last selected window for each app?
Chrome.app (latest official stable)
(Though I could have listed any two apps.)
Mac OS X 10.9 Mavericks