Lion's resume feature can be pretty handy, but other times it opens a bunch of old windows when you least expect it. If you're tired of apps opening up all the windows you had open last time, you can stop the app from remembering those windows next time with Command+Option+Q.
If you have, say, a number of pictures open in preview, or a number of documents open in Pages, hitting Cmd+Q to quit the application will save all those windows for later. Which means, the next time you open an image in Preview, you'll be annoyingly bombarded with all the images you had open last time, too. To avoid this, use Cmd+Opt+Q to quit the app next time (instead of Cmd+Q). This shortcut will close all the app's open windows and quit it one fell swoop, so the next time you open it up, all you're left with is the one window you intended to open.
10.7: Quit and Close all Windows [Mac OS X Hints]