Interpretation
Based on the accepted answer, I see two aspects to the question:
- whether an application should run without windows
- which windows should present when an application runs.
Automatic and sudden termination
Recommended reading for any user of Lion concerned about running applications:
A highlight:
… the system … is better equipped to handle the job. Users do not need to manage processes manually …
Quit quitting!
If well-written applications are used, and if the user can break a habit of quitting applications (a habit learnt from less intelligent systems) then:
- allowing the Lion system to manage things can result in a vastly improved user experience.
It takes a leap of faith to work in this way — without command-q — but many user reports do confirm what's suggested by Apple.
Shift key suppression of windows
Sometimes comparable to discarding windows.
In Mac OS X 10.7 (Build 11A511): without changing global or application-specific settings for restoration of windows (a feature of the Transparent App Lifecycle (TAL)), applications respond in different ways to use of the shift key before the application is launched.
Examples
NeoOffice 3.2.1 Beta Patch 0 respects the shift key. If a saved file was open at quit time, then shift key before launch will suppress restoration of the window to that file. If in addition you prefer nothing at launch (a feature that's independent of the TAL) you'll get nothing.

Preview 5.5 (719) respects the key. If only saved files were open before quit, then shift key will cause Preview to present nothing, no windows.
Safari 5.1 (7534.48.3) respects the key. If your preference for new windows is an empty page, and if you were browsing various pages before quit, then shift key before launch will cause presentation of just one window, an empty page.
Terminal 2.2 (297) and TextEdit 1.7 (288) behave in ways that are consistent with Preview and Safari.
For each application, a different logic may apply but essentially, at launch time:
- shift key should suppress something.
Mail 5.0 (1244.2/1244.3) seems to ignore the key. If you have multiple viewer windows, the activity window and a window to a received message: all of those will be restored. This inconsistency smells buggy and should be fed to Apple; I expect Mail to present at least one window (viewer), not everything.
Hint
Do not release the shift key too soon.
Side note: resuming editions
Editions that were unsaved before quit are usually resumed as editions.
In some environments, editions that were unsaved before quit are not resumed. When you open any such file you should find that the system (not you) saved a version.