For the ones who are obsessed with Inbox Zero, here is a great feature from Gmail Labs: Send & Archive. Basically it adds another button which sends the message and then archives the conversation.

You need to enable it under Labs section in Gmail settings and then you are ready to go!
I really loved that feature because I recently realized that once I send a message, I immediately archive it. Doing this every time manually was a nightmare for me.
Thanks Gmail, once again…! ;)
