OS X Lion: no, I don't want you to remember what I had open goshdarnit. (astroaficionado.net)

Yeah, I definitely thought this was a great feature in the beginning but quickly realized how messy it made my desktop when I opened applications. I find it is only useful when forcing a restart after software updates, etc...

i don't know of a way yet to disable this feature globally, but you can disable it on an app by app basis by issuing this command in a terminal:

defaults write com.apple.Preview NSQuitAlwaysKeepsWindows -bool NO

just replace "Preview" (above) with whatever you want to not have restore windows instead.