You're not crazy. In 10.5 you can Exposé all windows, then press the tab key to cycle through windows on an application by application basis.

I wish someone would create an Exposé extension for Lion. Apple aren't going to un-break it, I think I'd pay up to $20 to have it back.

I think the closest you'll get for now is to use your Mission Control screen selection/switching shortcuts that appear in the Mission Control list item for the Keyboard Shortcuts segment tab in the Keyboard system prefpane.
For example, use the Mission Control shortcut to view your desktops (by default ctl-up arrow, used to be F8), locate the app that has windows you may want by switching desktops, mousing over windows and using spacebar to magnify. When you get to the window that may be the one you want, verify that's the case by magnifying it with spacebar. Now here's the tricky part. You can grab the window with the cursor and make it live while it's being dragged by pressing escape. The tricky part is that the window may look as though it's not going to become active, but when you release it, it activates. Another tricky part is that if you drag that window too much before pressing escape (shrinking it for placement on another desktop, for example) you'll spoil it's activation on releasing the cursor.

One more thing, a trackpad can complicate this procedure a bit, you'll probably need to set tap dragging and/or drag lock, which, in Lion, must now be adjusted in System Preferences:Universal Access:Mouse & Trackpad:Trackpad Options