This may be common knowledge to some of you, but it's new to me so I'm gonna share it. If you open an application (it works with folders too, but it is kinda useless) using Command-Option-O instead of just Command-O, it opens the application then closes its containing window.
This is very handy if you press Command-Shift-A, then type the first letters of the app's name, then press Command-Option-O, because it doesn't require a quick Command-W to close the Applications window. I have not tested this with 10.2 but it works in 10.3.3.
[robg adds: This is the keyboard equivalent of option double-clicking to launch an app, which I know we've run before at some point...]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20040530214320107