[see below for other languages]
Cmd ⌘ `
Cmd ⌘ Shift ⇧ ` to go the other way.
Left of z on a UK keyboard [non-shifted ~ ]
Note: This only works if all windows are in the same Space, not if they are spread over multiple Spaces, which includes fullscreen. To overcome this, use Cmd ⌘Tab as usual and on the icon of the application you want to switch windows in press the down arrow key (with Cmd ⌘ still pressed). Then use left/right keys to navigate to the desired window across spaces and desktops.
You can also achieve this by clicking the app's icon in the Dock - this method will also switch to fullscreen windows, which the other methods will not..
From comments - You can check which key command it is for your language by switching to Finder, then look at the Window menu for 'Cycle through windows'...
BTW, specifically in Chrome, Safari & Firefox, but no other app I know of on Mac, Cmd ⌘ (number) will select individual tabs on the frontmost window.
It also would appear that Cmd ⌘ ` is yet another of those language-specific shortcuts; so if anyone finds any more variants, please specify for which language & keyboard type.
Unfortunately, as of July 2021, Apple has changed this page, making it useless for our purposes:/
If anybody finds new combos for different languages, please check Keyboard layout here - Apple KB: How to identify keyboard localizations - & add that as well as which Input Source you use in System Prefs > Keyboard > Input Sources.
Add a keyboard picture from the KB page too, if that would help.
That will make it easier for future Googlers.
You can change the keys in System Prefs > Keyboard > Shortcuts > Keyboard...
though it doesn't list the reverse direction, it does still work when you add shift to that new combo. I tested by moving mine from ` (and ~ ) to § (and ± )
You can use the alternative of Ctrl ⌃ F4 [visible in the prefs window above] but that almost indiscriminately marches through every single open window on all Spaces, without switching to the correct Space each time. It's really not too useful unless you use a single Space, just included here for completeness.