If you enable "Auto-advance" in Gmail Labs, you can change this behavior. The default option is to go to the older conversation, but you can also ask Gmail to send you to the newer conversation if you usually read the oldest messages first.
Gmail automatically advances to the next conversation after archiving, deleting, flagging as spam, moving or muting a conversation.
Gmail's blog reminds us that there are two useful shortcuts for archiving and going to the next/previous conversation: ] and [, but they're difficult to remember and not many people use keyboard shortcuts.
{ Thanks, Sterling. }