JCE by default interprets the Return key as a new paragraph. You can change this by going into Components>JCE Configuration, and in the right panel, setting it to add <br /> tags when the Return key is used.
Doing this sometimes still causes a big jump, but then hit "backspace" and it takes you up one line.
I hear WYSIWYGpro is much better, but have never used it myself.
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