Com base no comentário da @ lawlist, aqui está o que estou usando agora.
(defun delete-window-then-next ()
; Makes this bindable to global-set-key
(interactive)
; delete the current window, moving to the previous
(delete-window)
; go to the next now
(other-window 1))
(global-set-key (kbd "C-x o") 'delete-window-then-next)