However, I think I may have discovered the key thread linking them. Things in the first category can be closed by using the same keystoke used to open them. That is, after you hit Command-T to show the font panel, if you look in the menu bar, Command-T now says Hide instead of Show. The same is true for the Inspector; it now lists Hide as the action for the shortcut. So if you there's a menu option that shows a particular mini window, check the status of the menu when the window is active -- there's a chance it will now act to hide the window it just activated.
The Window Settings option in Terminal, however, has no shortcut, and therefore doesn't exhibit this hidden "hide" behavior. I personally think anything with a close button should just close if you hit Command-W and it's the frontmost window, so this is a little bit of a departure from a unified interface on Apple's part. However, anyone who finds counter examples from this behavior, please post below.
[robg adds: The behaviors are definitely inconsistent on Apple's part. I can, however, understand not just mapping Command-W to closing the frontmost window. In the Finder, for instance, you may wish to have the Inspector open while you're opening and closing multiple windows, so I understand the reasoning.]

