i used to use ATK(advanced task killer) to close apps that i didn't want running. while the concept is there, actually having it work correctly is not. applications like that need full access to your phone in every aspect of the word.
in my experience i have found that after installing the app, it would work correctly but i would start to notice small issues happening with my Motorola milestone, random re-boots, alarm clock not working, issues with sending a txt msg or MMS. i quickly uninstalled this app, rebooted the phone and has been running perfectly like it should.
the android os does an excellent job of putting any apps you are not currently using to "Sleep" and closing the ones you havn't used in a while. like many have said, you should use the arrow key instead of the home key to bring the app back to a sleep state.
i would stay away from task killers as the phone doesn't need them and you will probably have issues weeks to months after installing, thinking the hardware is faulty.