I hit Cmd-O or Cmd-N, depending on what I'm doing. Personally I barely use the dock for anything, Cmd-Space for Spotlight is faster, and I use Cmd-Tab to navigate between open programs.
If I close all the tabs in a browser window, the window should disappear, yes. If I close all the windows, the browser should stay open, so I can start another window if I want to.
That's the whole point of this user affordance, there's a difference between closing the last window and closing the browser! If I want to close a whole window at once, that's Shift-Cmd-W, Cmd-W closes just one tab, and this works for any tabbed window on any native Mac app.
No amount of Cmd-W will quit the application, and Cmd-Q will always quit the application, maybe prompting and maybe not. They're unrelated commands, especially since most applications will save your windows and that's most often what I want to have happen.
If you close all the tabs in a browser window, should it close the window or display a new tab page? Or just do nothing but show an empty tab bar and a blank window pane? That seems like the worst possible solution, because it always requires more clicks to do whatever you were intending to do. At least closing the window or opening a new tab will save you some clicks 50% of the time.