You can have other applications running besides the app your in at one time. For example, the music app is running when you're listening to music, even after you've pressed the home button and started another app. Mail can run in the background to check for email every so often, as can the Phone app, to monitor for new calls, and Safari to keep pages loaded. Jailbroken apps can also run in the background
Shut off the device, or on a jailbroken iPod touch, install SBSettings, and you can select running apps to quit from there.
By the way, for anyone using a jailbroken device, Backgrounder is very useful, and allows you to let app store apps run in the background. If you like to listen to Pandora, but want to browse the internet at the same time, you can set Pandora to run in the background and go to Safari without stopping your music.