Yep, even Visual Studio manages this. Something like Alt-F4 (or just F4 maybe, I can't remember) moves to the next error.

VS seems to track the changes very well. If you click on an error message, you nearly always get taken to the correct line, even after having made substantial changes elsewhere in the file. That way, the line numbers become quite irrelevant. VS only gets really confused if you actually delete the line that the error itself was on.

F8. Alt-F4 is "close window" and F4 is "Properties".

And yeah, it's very nice.

And if it starts to lose where the errors are then I just hit compile again - even with reasonably large systems it's only 30 seconds to do a build.