Tapping the back button is the accepted method for exiting an app. Tapping the home button takes you back to the home screen without usually exiting the app - this allows multitasking.
By the way, normally when you exit an app the app exits unless it is involved with a service that needs to keep running, such as weather, in order to poll a server for information. You may see that app listed in Manage Applications but the app isn't running, unless it's service-oriented, it's cached so it will open faster the next time you need it.
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