Are you using IE8 (beta 2)?
I noticed this starting to happen, but oddly its just after I installed IE8. I was about to remove IE8, but if it isn't that, then it must be due to the forum software update.
Do you click on the thread title, or the little icon next to it, or the icon next to the last poster's name.
Clicking on anything other than the thread title will take you to either the first Unread message (if using the icon to the left of the thread title), or the last post (if using the icon next to the last poster's name)