No, the worst is each application remembering your open windows. Particularly Preview.
Let's say you view a sensitive image in Preview, then use Cmd+Q to quit. A week later you open a new image, directly from the Finder, to show a work colleague, and it opens in Preview.
First Preview loads up the previous sensitive image (restoring the state of Preview), and afterwards your work image. Work colleauge sees sensitive image. Embarrassment all around! (Well, actually just lots of laughs, but it could have been!)
Moral of the story: always use Cmd+W to close all documents individually in Preview, and only afterwards Cmd+Q.
Bigger moral: Apple really messed this one up. Opening applications via documents in the Finder shouldn't restore previous application states, because the whole point is that you're starting with a new, specific document.
Happened to me too, I had a party invitation open in a work environment because Pages was the first app that bit me. Rotating through five NDA'd projects, I'm happy that it was as harmless as that.
Another privacy trap is how Lion's Dock menus show recent files. Given a setup where a Mac is connected to a projector (presentation, video night), this makes it fatally dangerous to quit applications. You easily end up broadcasting Secret-Client-Sales-Pitch.ppt or sensitive video filenames. Also annoying when sharing computers, where before I used to trust my friends not to dig into Recent Files menus (not something you'd do by accident).
Two of my personal anecdotes:
Winamp cleverly remembers its last playlist. I once wanted to use a close relative's open Windows laptop to play a clearly visible music file at a family gathering. I accidentally presented his most recently watched 'rather sensitive video' to everyone.
Another time, I downloaded a sex ed quiz from the App Store's Top 50. It claimed a very low rate of infection from an HIV positive mom to her baby. For the benefit of science, we verified that fact using Google. Imagine the thoughts of a CouchSurfer when she saw the "recent" search query weeks later, borrowing my iPad to look up train schedules. Glad she asked me about it.
These are all things that should not even go wrong once, so "getting used to it" does not help.
Doesn't really solve the issue but you can globally disable per-application restore in Preferences and you can use Cmd-Opt-Q to make apps forget currently open windows instead of manually closing documents.
Let's say you view a sensitive image in Preview, then use Cmd+Q to quit. A week later you open a new image, directly from the Finder, to show a work colleague, and it opens in Preview.
First Preview loads up the previous sensitive image (restoring the state of Preview), and afterwards your work image. Work colleauge sees sensitive image. Embarrassment all around! (Well, actually just lots of laughs, but it could have been!)
Moral of the story: always use Cmd+W to close all documents individually in Preview, and only afterwards Cmd+Q.
Bigger moral: Apple really messed this one up. Opening applications via documents in the Finder shouldn't restore previous application states, because the whole point is that you're starting with a new, specific document.