In Lion, how can I configure to not automatically re-open recent files that weren't closed? For example: I opened some files in Excel, then I close Excel, without close each file (ex.: command + Q). In the next time that I will open Excel, it is going to open my recent files that weren't closed.

Is there someway that I can change this behaviour? 

P.S.: This occurs with other apps too, for example "Preview".
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.