I figured if you closed the last window you'd be done with the app. That makes sense to me. I never close all windows just to return and open a new one. Apple is clearly divided, however, on which direction to take.
For iTunes on Windows, you can minimize to the system tray easily enough so it is out of sight.
Take Photoshop for example, if I have closed every photo/image, it is still running, like I want to, if I need to return to it later.
It's a quick convenience, that Mac OS X leaves applications running, and I read somewhere, what the reason was behind the one-window-closing->quit-applcation policy. I can only recite by memory, but it has something to do with applications having only a single window (System Preferences) or more (iCal, System Profiler, ...).
Maybe the following can help:
Introduction to Apple Human Interface Guidelines