Under Snow Leopard and earlier, closing the window would trigger different application behaviour depending on whether the application functionality was tied to the window (document) or not.
So applications that could operate without a window (document), like Safari (could be downloading files in the background) or iTunes (could be playing music, downloading from the store, etc, etc) stayed active. Applications that had no purpose without a window (document) would quit.
However, it's functionality that the application developer needed to call using the APIs, so it wasn't always consistant with third-party applications.
In Lion, everything has changed, since the process management model underlying the applications in the operating system is totally different. Now, even if the "active" dot is on, the OS might kill the process to reclaim resources, under certain circumstances. And if you quit an application the OS might keep the process alive anyway.
Heck, I've set my dock preferences to not even show the dot anymore...between application autosave / resume, and this new process management model, the dot just doesn't mean anything anymore.