Single window apps (like iPhoto) will quit when you click the red button. For Multi-window apps the red button closes the current window but doesn't quit the app. Apple+Q will quit the app.
the good thing is that if you don't quit the app its not going to use up resources just sitting there. Also you can always command+q to quit the app. Comand+tab and holding the comand key then pressing q will work as well if the app isn't selected.