Holding Control key and clicking on a New Layer icon should create a new layer below, as in Photoshop
Originally mentioned by Mohammed Amjed Khan Abro here: http://illustrator.uservoice.com/forums/333657/suggestions/41107321
Layers Panel.
Holding or pressing the Control key and clicking on a new layer icon in Photoshop to creates a new layer below all the layers if no layer is selected, if a layer is selected then you do the same action will create a new layer below the selected layer which really makes sense.
The same thing would be very comfortable in Illustrator if that feature would be added in the Layers and Appearance Panel.
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A related request about Appearance:
Cmd / Ctrl or Alt + New Fill/Stroke button in Appearance should add one below current fill/stroke
http://illustrator.uservoice.com/forums/333657/suggestions/34858339