Close and Quit
John Gruber on Chrome and Safari, regarding Safari for Mac's lack of state saving on quit:
Closing windows and quitting the browser should not be related tasks.
I agree. Quit and close are very different. Close means: I don't want this window any more. Quitting is a technical detail which it isn't usually necessary to worry about. (Or at least should not be.)
I don't think applications should quit after their last window is closed. An Apple created example which gets this wrong is Dictionary.
More importantly, quitting should not mean losing state when launching again as in the problem Gruber mentions. This is especially important if the application was not explicitly quit. For example, due to an operating system restart. Safari gets this wrong, but Dictionary gets this right.
Update: This is about Mac OS X. Other systems have different conventions.