I have this weird problem, I often use cmd+tab to switch between opened applications. After upgrading my OS to El Capitan it started to behave weird. Sometimes it doesn't switch to last focused window but it switches to last application visible on that bar which is displayed after pressing this shortcut. It really freaks me out.
To explain this problem better I've recorded a video cmd+tab, when this bug occurs I stop for a while and point my cursor on the application item on that bar.
I have to mention than all this time I'm using cmd+tab only, without shift pressed.