>>5
I use both methods. A COOL TIP:
Go to your keyboard shortcuts window, and add a new one under Application - "e Ctrl". Have the shortcut be "Close page, 1 & Switch to next page".
Now you can hit Ctrl-W to close pages normally, and Ctrl-E to do the switch to the left thing. If you don't use the keyboard, then, umm.. I guess look around in the preferences (does anything under Advanced->Tabs do it?), or ask the people at the Opera forums about it.
I personally like the way Opera returns me to where I was rather than methodically cylicing through the tab bar, though - you may learn to like it, and that's why having the Ctrl-E available might be a good way to get into the habit.