I also found this behavior very annoying.
My first attempt was to open the template explorer (ReSharper / Templates Explorer ...) by selecting C # and then unchecking the "else" checkbox. This got rid of the braces. Unfortunately, by pressing enter after "else", now just added space! I had to press twice. Not quite what I was hoping for.
But if you double-click on the else template, it will open an editor where you can specify what is happening. I found that simply removing the curly braces gave me the functionality that I wanted - by pressing the enter button after the other now put me in a new line, folded under the other - without braces.
To do this, you need to open the Resharper Templates Explorer, select the C # area, then double-click the else template and remove the curly braces. Your snippet should look like this (just two lines):
else $END$
This works in Resharper 6.1 and Visual Studio 2008. I have no idea about other software versions.
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