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It's also worth mentioning that this behavior exists on OS X as well.

And also on Unity (if you're into that).

And also on KDE.

Wait, is Windows the only one not to have that implemented?

My XFCE4 doesn't have it. It might be in some configuration option though.

Arguably Windows doesn't need to implement this because alt-tab is already a window switcher and not an app switcher.

I am into that - and you can change the behaviour to only alt-tab windows in a single workspace if you're more used to that.