OK, I did a little research and seems a lot of you FF switchers(not saying you are one

) are complaining about that feature. Personally I do VERY little customizations to Opera as I love the default behaviour. However, Opera is actually very configurable, you're just used to FF and solwing things with add-ons and extensions.
The default behaviour can't be changed it seems, closing a tab by pressing "x" or middle clicking the tab, closes the current tab and switches to the previously active tab. But there are a few ways to get what you want, the easiest being making a keyboard shortcut for that action or making a mouse gesture that will do it for you. I prefer the latter, mouse gestures make life so much easier. You do use mouse gesture, don't you?
Keyboard shortcut:
Preferences>Advanced>Shortcuts> under keyboard setup duplicate the default opera profile, now click edit. Under the application drop down menu either edit one of the numerous keyboard shortcuts or make a new one. Example for a new shortcut; Click new and in the first field enter "y ctrl" and in the second field write "Close clicked page & Switch to previous page", all without the quatation marks. Make another new shortcut for "x ctrl" and "Close clicked page & Switch to next page". Click OK and under keyboard setup make sure the new profile is highlighted and then confirm with OK.
Mouse Gestures
The option i prefer is making a mouse gesture doing the same thing. I can't live without mouse gestures, I don't think I've clicked on the back, forward buttons for ages. I simply press right click and move left to go back and right click and move right to go forward. There are a lot of other mouse gestures and they're all configurable to your liking.
Again Preferences>Advanced>Shortcuts> under mouse setup make a copy of Opera Standard profile and click edit. My recommendation is using the following gesture; edit the GestureUp to "Close clicked page & Switch to next page" instead of "Stop" and GestureDown to "Close clicked page & Switch to previous page". Click OK and again make sure the new profile is highlighted under mouse setup and confirm. Now when you right click and move your mouse down it will close the active page and go to the previous one and when you right click and move up it will close the active and go to the next page.
I know this will seem awfully complicated but it's not, you're just not accustomed to it. Think of your self as a Windows convert to Linux, it's not hard it's just different. Dig around the Advanced section of preferences, pretty much anything is configurable.
I seriously hope these actions are what you wanted, otherwise I lost 45 minutes of my life for something I'm never gonna use.
