Lion has a new feature called "Resume" which automatically reloads whatever you previously had open so you can continue working (at the place you left off).
Three ways to disable the feature:
Hold down the shift key at launch
Hold down the option key when quitting any open app
Disable the entire Resume feature
I like having Safari load all of my previously opened tabs (I don't have to open the via bookmarks) so I can return to my work exactly as I left it.