One thing I have noticed on Vista and once on Win 7:
I am viewing a web page. I shut Firefox down with the red X at the upper right.
A few minutes later, I poke the Firefox icon to restart the browser.
Nothing happens other than an error message to the effect that Firefox is already running, even though I see nothing on screen.
I look in task manager and see that Firefox in fact is running and is occupying 50% of my CPU cycles. I have to shut it down in the task manager before I can actually open it on screen.
This happens intermittently and may be rarer in Windows 7, but it is annoying.