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There actually is a "why did they do that?" answer. M$ knows that the competition for the PPC is the Palm, which has very quick opens on the few apps it supports. To get that same response time, M$ built the operating system so that apps don't really close, but get pushed into the background so that when you ask for the contacts again, the app is already there running and pops up for you as fast as it does on the Palm. If you shut it down, you'll face the startup time every time you want contacts, or calendar, or whatever. I do keep some things running in the background all the time just to have that responsiveness (Pocket Informant, for example) but I do shut down others (Media Player, etc.).
I use ICBAR to shut down apps. It's good and free. WISBAR is another free variant of the same product. Both have a nice feel to them.
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