If you are running Lion (or Mountain Lion), there is a feature called "Resume." Applications that are running when you log out resume where you left off the next time you log in.
So what may be happening is that you had iTunes and Mail running when you logged out, so they launched automatically when you logged in. As a test, you can try quitting all apps before logging out. When you log back in, note if any apps launch automatically. They should not...
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