This problem has been bothering me since I switch to Snow Leopard. When I use applications that have some floating windows (Maya 2011, Adobe After Effects), Spaces seems to bring the floating windows along for the ride. The main application window stays in it's appropriate space. When using an app like Maya, this could be 5-10 windows. A workaround is to click the desktop twice and then jump to a new space, but that is getting old. This was never a problem in Leopard.