A personal favourite:

Lion’s new Resume feature automatically opens any application’s documents that were active when the app was quit. That can be jarring to people who traditionally quit an app when finished with a document. To ensure that a completed document does not automatically open the next time you launch the application, hold Option and choose [the Application Name] > Quit and Discard Windows, or press Command-Option-Q. Alternatively turn this feature off completely in the General system preference pane; you can then ensure that an open document does automatically open the next time you launch the application, again by holding Option as you quit the application.

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