Just to second what Shaw said -- the current behavior should be very very 
familiar to Web browser users.  They don't have to think about it, it Just 
Works the way they expect it.  Given the relative market share of browsers 
and AbiWord, this is a Good Thing.  ;-)
The idea of having close on the last window mean the app's gone too makes 
sense in that context.  For folks who only work with one document at a time, 
this does mean that they'll need to rely more on their desktop environment 
to keep relaunching the app for subsequent documents.   Otherwise they'll 
need to leave multiple documents open to continue having access to the 
toolbar / menu to keep opening files.  
As various folks have mentioned, MDI apps don't have this problem, but 
taking on the overhead of implementing MDI on all platforms wasn't something 
any of us was willing to sign up for -- and especially not Shaw, who does 
most of our GTK work.  :-)
Brian's idea of having close sometimes also mean open a new window is 
innovative, but not all innovations work well -- especially when it comes to 
touchy-feely GUI issues.  I suspect most folks would find a close ==> open 
mapping to be a bit counter-intuitive.  
>When our Mac port works, I expect it would act just like a normal
>Mac application (close all the windows you can, but until you actually
>exit from the process it's still running).  
That's what I'd expect too -- especially if that's the way browsers behave 
on the Mac.  However, neither Shaw or I are Mac hackers, so we might be 
wrong.  Whoever owns the Mac port will have the final say on that issue.  
And if they make the wrong choice, I'm *positive* that AbiWord users on the 
Mac will set us straight.  
Paul