This applies to Arduino 0018 to 0021 on Ubuntu 10.04.
When I exit the Arduino IDE with Ctrl-Q (or File-Quit), the open Sketches are remembered so that they will be reopened on the next start-up of the IDE.
When I exit the IDE with Alt-F4 (or the X button on the title bar), on the next start-up an empty Sketch will be opened.
Korman