Across the menu bar in the forums area you wll see "latest threads" As you say, you must be logged on for the system to know what you have read and what you haven't read in the past.
Just click on it and it will show a list of every new thread since your last logon. It actually goes to the last page of the thread. So if there were a lot of new posts since your last logon, you might have to go back a page to catch up on all the new posts. From there you can navigate to each thread and read the old and newer posts however you like.
I always use the the "latest threads" command. From there I right click on every new post and open it in a new tab on IE8. That way I don't have to go back and forth. As I read/comment on each thread, I close the tab.
I love this feature. Some forums only show the newest threads without the original posts...hence sometimes you are left wondering, "what was this all about again?" Others open only to the first page as you mentioned...I hate those too.
Of course, in the user settings area, you can also permanently unsubscribe or subscribe to individual threads to keep your screen neat and tidy and only include those areas that interest you.
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