For all of you who have Advanced Task Killer, you really need to read this...That program can actually make it worse.
Android is different to most other phone operating systems. It's closer to Linux than any other type of operating system. Lots of services and applications constantly run in the background just like they do on Windows. However, and this is important, they do not have to use up a ton of resources. A service or app can be loaded, yet use almost no additional memory, and 0% CPU until it actually has to do something.
In general, killing off stuff is a waste of time. Android automatically asks apps to close that aren't needed when it needs more memory. Killing off some of the processes you are killing off also means it'll slow your phone down, as these processes only need to reload, and when you do need to use them it means the phone will be slower for the few seconds it takes to reload them.