Old school Mac users like me were trained to quit apps that aren't in use. Finished with Explorer? Quit it. All done using Photoshop? Command-Q. This habit came from a time when computers shipped with less RAM than the iPhone 4, and is very hard to break.
Of course, your iPhone isn't running all those apps at once. When you double-click the Home button, you get a list of recently-used apps; they aren't all "running" in the Mac OS X sense. As MacDailyNews explains, some are in "suspended animation," much like Han Solo encased in carbonite. He's not dead, but he's not doing a whole heck of a lot, either. You'll find an excellent explanation of what's going on at TidBITS.
Conversely, Steve Jobs offered a customer a very brief explanation via email. "People shouldn't have to understand multitasking. Just use is [sic] as designed, and you'll be happy. No need to ever quit apps." In other words, the best option is not to think about it at all. iOS 4 knows what's its doing, so just leave it to its business.