Sure. For years and years you knew how your computer worked—and you’ve come to rely on that for your livelihood and productivity. Why did Apple decide, in Lion, to destroy so much that worked so fine? I don’t have the answer to that. I don’t know why they believed that users could just adapt to change for changes sake, either.
One app I use all day long is Preview—looking at images, at documents, at PDFs, and legal forms, and the like. I’ve noticed Preview is extremely slow in Lion. It crawls!
I also realized that each time I quit Preview, did some work, then had to view a PDF, all the previous windows that had been opened before I quit mysteriously reappear. At least one reason why Preview is so slow to start is because it has to find each of those previous files and open all of them, too, along with the new file you’re actually trying to look at.
Quite a change. Used to be a good old fashioned Quit meant just that!
Fortunately, there’s an easy way to restore your expected behavior. In the Preferences -> General, you’ll see a checkbox option, “Restore windows when quitting and re-opening apps.” This is the source of this particular insanity. Uncheck it, and go back to your work.