Keyboard shortcut for switching between buttons in a dialog
Tab is supposed to work (and does), but Yosemite seems to have a bug in regard to highlighting which button is selected. The entire button being blue means the button is the default, but there should also be a visual indicator of which button is selected.

You can test that Tab does in fact work. Press Cmd+S to save the page you are looking at right now. Then, in the Save sheet, press Shift+Tab twice, and press Spacebar. The Save sheet will disappear because you selected the Cancel button and executed it (with the Spacebar).

Because of the lack of a visual indicator, unfortunately this is going to be difficult to use until the visual bug is fixed.