Knowing which applications to stop
The people over at XDA-developers.com will tell you: you don't need a task killer!

Why? Well you see RAM only uses up energy when you change what's in it, so actually the act of 'cleaning' up costs you more than keeping it in memory.

The only apps I would recommend closing are those that require internet access and/or sync often. This includes various games, social networks and your email.

Update: I would add GPS apps to the list of ones you want to keep an eye on, although these generally have explicit "exit" options, and so don't require killing either.

For the rest, it's best to let Froyo decide for you!