Another forum that I visit many times a day has a button on the top of each thread that takes you to the first unread message in the thread. That would be REALLY handy and save a lot of wear and tear on the old mouse. 
I have no idea if it is done with cookies or a host database update, but it’s reliable. Obviously just keeps track of the last time you logged in.
When I’ve read all the messages in a forum that interest me here, I click the “Mark all topics read” link above and to the right of the topic list. Of course I have to do it for each of the eight different forums here, but then not every forum has a new message every time I visit either.
If you use the RSS feed and click on the first unread message, it will take you to that message.
I do that as well, but I’m talking about within each thread. It would be especially helpful for multi-page threads where you have to look for the right page first and then see where you left off.
If only I was able to use RSS here at work!
Clicking on the small Folder insignia at the left of each unread thread’s Subject will automatically take you to the first post YOU haven’t read in that thread.
Yes, it’s done with magic cookies.