So how to do switch keyboard language setting in Mac OS X ?
Apple Icon (upper left on screen) -> System Preferences->Language & Text -> Input Sources -> (Tick on Keyboard and Character View) -> Keyboard Shortcuts -> (Select the previous input source).
By default Mac OS X is set to open SpotLight with same key language switch combination as for switch between languages (key binded are CMD + Space), thus CMD + Space will not work to switch languages.
Click on Select the previous input source and rebind it to something else (something very close is cmd + z or alt + z). Onwards you can switch between languages with whatever key binded. Unfortunately there is no default way to make Mac OS X change languages with Windows classical Alt + Shift.
There is however external app KeyRemap4macbook capable to customize Keyboard mapping to familiar Alt + Shift
I don't like installing it, prefer using default OS features and bind language switch to Alt+Z.