Several apps let you do that, try searching the forums for some feedback. Wisbar is one, which does this and so much more. More limited is MagicButton, but it is also free.
Not closing apps is a common problem and you have several options 
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Current PDA/phones:
AT&T Tilt (unlocked)
Motorola v360
SE T610
My sordid past:
Kyocera 6035, Kyocera 7135, Samsung i700, iPAQ 6315, iPAQ hx4705, Motorola a630, BB 7100t, iPAQ rx3115, JAM 850, BB 8700g, Samsung i320 (just for fun), imate KJAM, TMO SDA, MDA, TMO Wing
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