Yes android is not windows but android is linux and linux is not perfect. I don't care what OS you are running you have a limited amount of memory and any app loaded into memory will take up memory space. The only way to clear that memory space is to shut that application down. As the memory gets used more and more the phone will start to slow down.
Android tries to manage all of this for you behind the scenes. When you leave an application it is supposed to go to sleep but this does not mean that it will give the system it's memory back, only that it will stop using CPU resources (maybe, depending on the type of app and how well it's programmed). What android does is has some logic that will actually close down applications when it detects that it needs more memory to perform a function that the user is currently doing. How well it does this can be debated.
So you technically do not need a task killer if everything worked perfectly. Unfortunately, the reality is that your phone will currently present some lag at times especially if you use a lot of applications.
Actually, one of the worst apps on my phone is the built in web browser. That thing will gladly eat a ton of memory if you don't clear it's cache often. I'm now killing only the apps that I know are slowing my phone down. Google Maps, HTC Browser, and a few other apps I've downloaded from the market place and use from time to time. Otherwise I let the phone manage the memory. I never leave a task killer running. I kill them myself. I don't think you need them to manage the system but they are handy right now.
Android will get better. I'm sure Google has people working on the algorithms used to keep the phones functioning so I'm sure over time it will get better. Who knows when 2.0/2.1 comes out for our phone we may find that it does a far superior job and there will be no need for killing apps anymore.
