Applications in OS X Lion Won't Close

For the second time now, an application is refusing to close. First it happened with the Mail app -- the usual x - + icons don't appear in the red yellow and green circles in the top left when I hover over them (when I try clicking on one of them I get that annoying "can't do that" sound), and the command+Q option is greyed out in the top menu. Now it is doing the same thing with BitTorrent. Has anybody else experienced this issue?

I'm running Lion on my new late 2011 MacBook Pro 13". I tried looking this up on Google but so far haven't found any solutions or even any mention of the issue.

Thanks for the tip. I'll try this next time, it'd be a lot less hassle than force closing.