In Lion, how can I configure to not automatically re-open recent files that weren't closed?
System Preferences > General

Uncheck the Restore windows when quitting and re-opening apps.



You can also toggle this behavior by holding the option key when quitting an application.

Added - October 19, 2012

In Mountain Lion, this option has been changed to read, "Close windows when quitting an application" with fine print to explain that open documents will not be restored.