It seems to be one of non-Mac users biggest complaints but I love it. I can close my Chrome windows and remove the clutter without having to pay the cost of having it start up again. It's a good-bad habit because then I go to Linux and Ctrl+W all my tabs and then hit Ctrl+T and realize my mistake.
The thing that confuses me the most about it is when I close the last window of an app, 95% of the screen shows the app beneath it but the menus are still for the app I just closed. I guess that's partly a crossover with the focus model as well, but it's just a bit alien to me. As you say, it's really a non-Mac user thing; I only use OSX 5% of the time at work so never really get used to it.
It's odd to hit the x to close and the program actually just minimizing. Odder still was that when I hit minimize, by default, it minimized to a separate icon to the main application. I changed to it minimizing into the dock icon. But the inconsistent behavior of the x button means sometimes it and the _ button (I can't call these close and minimize on this system because that's not what they are anymore) have similar, if not identical, functionality.
To prevent Firefox from closing, go to about:config and set browser.tabs.closeWindowWithLastTab to false. This is one of the first things I do when I (re)install a computer, I don't like the default behaviour either :)
