By default when you create an account on CG Cookie, video lessons are not enabled to auto-play to the next video. Depending on your learning style, you may prefer to have this on.
After logging into your CG Cookie account, head over to your application preferences. https://www.cgcookie.com/dashboard/settings/app_preferences to set the desired behavior.
Note: currently when viewing a video in full-screen, videos will exit full screen to traverse to the next video lesson.