This feature was requested frequently, and it saves you at least one keystroke or button click per conversation.
Having clicked "Send" followed by "Archive" a few million times, I started to wish there was a way to just click once and accomplish both actions at the same time. So I decided to turn this idea to a Gmail Labs experiment. Turn on "Send & Archive" from the Labs tab under Settings, and you'll see a new button in the compose form labeled just that. The button does what it says: it sends your reply and then archives the thread with one click.
Tip: The File->Send menu item or ⌘⇧D keyboard shortcut performs the "Send and & Archive" if you have enabled the lab feature.