Disable message autoselect in OS X Mail
Solution 1:
Press option+delete or option+← to delete an email and not select the next email.
If you use an international keyboard: United states option key may be labelled alt and/or ⌥.
Solution 2:
I'm afraid you can not change this behaviour in the Mail.app settings.
Edit: As @myhd pointed out, you can indeed change the behaviour with ⌥ + ⌫ Delete!