Two of the latest changes introduced in OS X Lion are "Auto Save" and "Resume". Both do exactly what you think: "Auto Save" will automatically save what you're working on without you having to worry about it, and "Resume" ensures that when you quit an app, it will reopen precisely where you left off. While in general this can be a tremendous help in your daily workflow, there are occasions where you start an app and all you want is a blank document or a brand new screen rather than the last 4 PDFs you were looking at when you quit Preview the last time, or the multitude of Safari windows that were open when you quit the program last.
One option you have is to click the close box of every open window in any app prior to quitting. This will ensure that the next time you open that app you will not have all that stuff popping up on your screen again. But as you will expect, there is a more elegant solution (especially if you have way too many open windows in any particular app open at the same time). You hold down the "Option" key before choosing "Quit..." and you will see that menu choice change to "Quit and Discard Windows" (you achieve the same thing by holding down the "Command" (⌘) "Option" and "Q" keys simultaneously). This will close all the windows at once, quit your app, and the next time you start that app you won't have any of the previously viewed windows appear automatically anymore.