To actually exit an application, and free all of the memory and resources that it is using, you need to go to the Menu Bar, select application’s menu and select Quit. But if you are running many different applications, this becomes a very slow process.
Often, you can also use Command-Q as a shortcut to exit the application.
You can further use the Apple Dock to Quit or Force Quit and application:
- Control-click: (or click and hold) the application icon in the dock, a popup menu will appear, select Quit.
- Option-Control-click: To force quit an application that has crashed, you press Option while the popup menu is displaying - you’ll see the menu item called Quit change to Force Quit. Click that and it will force quit the application.
More info can be found at http://www.apple.com/pro/tips/forcequit.html