Jack Ranga
Whenever I start my macbook pro calendar, word, my day, e-mail and iTunes opens, it's really starting to piss me off. This was after updating to Lion.
Close the program (e.g. safari, calendar) using the option + cmd + q. Or click on the word safari in the top menu bar so the menu is displayed, then look at the bottom option when you toggle the option key.
I actually like the feature, as I have my MBP set up in a certain way with multiple desktops. Same with the Mac Mini media server with TV tuner, iTunes etc all running. If there's a power outage, it turns on again as it was left.