This plugin just saved me a lot of time and headache: http://www.ambrosite.com/plugins/next-previous-post-link-plus-for-wordpress. I was looking for something that would take me to the first or last post in WordPress. Using the previous_post_link() or next_post_link() give you nothing when you are at the beginning or the end of the list respectively.
The “Next/Previous Post Link Plus” for WordPress plugin gave me the option of specifying whether it should go to the first or last post depending where I was in the list. I owe a big thanks to the developer!