Possible to give Finder back focus after opening and closing file (e.g. in editor)?
Solution 1:
I don't know of any way to get OS X to behave like Windows in this case, but if the document you open is the only window open in that application, you can quit the app with Cmd+Q instead of just closing the window. If you need to keep the app open after closing the window, you can press Cmd+Tab to quickly return to the Finder once you close the window.
Solution 2:
In addition to @joelseph's suggestion of completing editing with CommandQ rather than CommandW, if your goal is to preview a file (as opposed to editing it) and the go back to browsing other files, using QuickLook (requires OS X 10.5.0 and later), invoked by pressing the space bar, will allow you to read a file, then return to browsing when you are done reading the file. This doesn't help if you need to edit the file.