Think of it like this...
OS X's Dock is like the Windows start menu, taskbar and notification area (system tray) all in one place.
An icon in the dock is more than a shortcut to start the application. It'll also display status information (e.g. Mail's unread-mail count or Chrome's in-progress downloads count) and let you control the app's window visibility (click to bring-to-front, click and hold for 'expose')
Now, if applications closed completely just because you closed their window, the Dock would really be just a dumb application launcher. Just because you're finished reading your email doesn't mean you don't want to be notified about any new email. Likewise, just because you've closed all of Chrome's web page windows doesn't mean you want it to stop your current downloads.
It's a tough habit to break, but you really don't have to worry an awful lot about how many apps you've got running. OS X won't bog-down when many apps are open.
I tend to do a kind of 'sweep' when I'm changing tasks. Use Command+Tab (basically the same way as you use Alt+Tab in Windows). Tap Tab a few times to highlight each app's icon, then if you want it gone just tap Q to quit it (still holding Command down!). I'll quit any apps I know I'm done with and leave everything else open. I'll never quit Mail and Safari, but I'll close Xcode when I'm done programming for the day.
Hope that helps!