This feature annoyed me too.
I found the following solution, you can use it to disable this behaviour for any application you like. If you want to turn it back on again, change the '0' in the command below to a '1'.
Can't remember where I found the hint, but I think it was on macoshints website.
"First youll need to know exactly which app you want to kill this feature on -- well use Preview as an example, since it may not be desirable to have it restore documents in most cases. Fire up Terminal again and use the following command without quotes:
defaults write com.apple.Preview NSQuitAlwaysKeepsWindows -int 0.
For other applications, simply replace Preview with the name of the app -- when in doubt, visit your Preferences folder to confirm how the app name appears in the com.apple.XXXX file this is modifying."