This hint shows a way to close an application AND its windows.
In Lion Command+Option+Q lets you quit an application and close all of its windows so that when you reopen the app there won't be open windows.
[crarko adds: In Snow Leopard it there are options to close all windows (generally Command+Shift+Option+W) but it's not tied into the Quit operation. I imagine since Lion re-opens all the previous windows when the application launches the new shortcut was added to prevent that.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20111106104452207