CMD+Z (CTRL+Z on Windows) has ever been the universal keyboard shortcut that undoes the last action. In QuarkXPress, InDesign, Illustrator, Microsoft Word, and most other applications, pressing CMD+Z (CTRL+Z) a second time undoes the action prior to the last. Pressing a third time goes three steps back and so on. Not so in Photoshop.
In Photoshop, CMD+Z (CTRL+Z) undoes an action. CMD+Z (CTRL+Z) a second time re-does the action–it’s a toggle. If your last action was to invert the colors of a layer (CMD+I [CTRL+I]), pressing CMD+Z (CTRL+Z) in rapid succession will result in nothing more than a psychedelic strobe effect guaranteed to induce siezure.
To step back through previous actions without mousing to the History palette, Photoshop thumbs its nose at convention and chooses its own way of multiple undos. Undo the last action with CMD+Z (CTRL+Z), but undo previous actions with CMD+OPT+Z (CTRL+ALT+Z). Keep pressing to walk backward through time–Photoshop-style.