Hey BV!
When your recording your actions make sure the last action is File > Close. Without this PS wants you to save it manualy before it goes on to the next file in the batch process. Most of the time my last two actions are "Save for Web" to optimize and then the File >Close.
Hope that helps you out. If not let me know
I don't know what I did before I discovered PS automation.
Later.
Bliz