A new feature in Lion is the Resume feature. With Resume, there is no need to open the same document each time you open the application. If you close the application without closing your documents first, the next time you open the application, the documents you were working on are opened along with it. Additionally, the window positions remain the same and any text you highlighted before quitting will be highlighted the next time you open the document.
This feature is especially handy if you work on the same documents each day. Many people find it highly annoying. As an example, last time I worked in Safari I had 9 tabs open. I quit Safari without closing the tabs. The next time I opened Safari, it loaded all 9 pages I had opened previously.
If this is not what you want, you will need to get in the habit of closing your documents first (⌘ + W) and then closing the application (⌘ + Q). If you have not saved changes to a document, you will be asked if you wish to save your changes before closing it.
There is a way to turn this feature off completely. Open System Preferences, click General and then uncheck the box next to “Restore windows when quitting and re-opening apps.”
If you don’t want to turn off this feature completely, you can turn off the Resume feature for one application by holding down the Option key and then choosing “Quit and Close All Windows” from the menu. This can come in especially handy if you have many windows open and just don’t want to go through the bother of closing them all.
Holding down the Shift key as you open an application will force it to forget the previous window state and any documents that it had open.