It is something switchers have a little trouble getting used to, but it has its merits. Some applications are nice to have always open without windows. Take browsers for example. They make you re-login to websites if you close them and reopen them. That's something that's really really bothersome about the Windows way of doing it. All of my friends leave their downloads window open in Firefox because of that fact. Other applications are better off closing when windows are closed, and some of them do! It'd also be nice if the OS could read your mind and know when you want an app closed and when you just want the window closed.