Unless it's changed recently, there's a next episode button that comes up when it finishes. Also, if you're NOT in full screen mode, there's a pop up near the bottom left that shows a list of episodes in the season.
I haven't used this functionality in months, so it may not still be there, but this is how it used to work.
I'm fairly certain the OP was referring to navigation to the next episode on the Apple TV, not from a computer where you're advice would apply.
When you're on the episode list instead of hitting the middle button on the remote then hitting it again to start the episode just hit the play button on the episode you want. When it's over it should take you back to the episode list on the next one should be highlighted. That's what I do at least.