If you have multiple conversations visible in Messages, you can cycle through them using a keyboard shortcut: press Control-Tab to cycle down, and Shift-Control-Tab to cycle up.
There seem to be some inconsistencies. When testing this, if I had my cursor in the text field, sometimes the keyboard shortcut wouldn't work and would instead highlight the name in the To section above the conversation.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20120731233318956