Well to argue both sides here, it's actually both ways and totally dependent on the content of the form really.
If the fields are setup to go from left to right, then the tab should be left to right. If the fields are setup top to bottom it should go top to bottom.
Having said that... Scott's way is definitely the definitive way things have worked on the web for as long as I can remember. If there are fields to the right of a field the tab has always gone to that field and to the end of that column and then to the next line. Never seen a setup yet that didn't unless the user set it up specifically (like we used to be able to do, not sure if we still can? Scott?).
I personally would love the ability to setup my tab order myself like we did in the older version, but just getting all that reinstalled again today so I'll see if it's still there if someone hasn't already answered that question for us here. We used to be able to specify our tab order in the Flash version, mostly because it didn't behave as it should though lol. It used to keep the tab order of the originally created fields and if you moved them around it didn't reorder the tab fields for you so you had to go in and reorder them as you liked them to be after you were done creating the form.
I would love to see that feature back myself (if it's gone that is). Totally forgot about it, but I bet once the Conditional Fields are released it will be nice and handy to use the ability to reorder them as you like them to be.
In the end though, this would be a feature request *hint hint and points to the Suggestions thread for this program* rather than a bug or problem. Scott is entirely right on the order of web forms. Remember that it's not like filling out a paper form, there's a definitely order of operations when it comes to web forms and left to right is the correct way.
If you still can't picture this then picture this instead:
When you read a form "hard copy" as you said above, you can see the entire form at all times for that entire page. This means you can fill out anything any way you like.
When you read a form on the web you cannot always see top to bottom all the way down and therefore it's been much more convenient for the users to read and fill out left to right and work their way down the page instead of having to go all the way back up again (some forms can be extremely long). Much more inconvenient that way so left to right is much more efficient and therefore the standard.
Create your form left to right and you'll be just fine.