At first I didn't like it, but I've eventually started to really like this in OSX. Having a ridiculous amount of RAM to "waste" may have helped change my mind. My only gripe is that I wish it were a per application setting.

Some apps, like my browser, mail program, the terminal, Emacs, ... I love having start quickly, even if it's because they were just in the background before.

Other stuff, like Preview, I don't use often enough to care about the load time, and I would probably configure it to exit when the last window closed.