Honestly, that should be a command, not an application. Maybe the RIM guys are listening...... That would certainly make it easier to preserve precious battery life on the Bold.
I second this proposal! It would make it so much easier than trying to remember and going back to close everything. It should be like a BB Task Manager that runs in the background that from your BB button is an option to open the manager and from there gives an option that allows you to close all program except defaults (and maybe a list of pre-approved application one puts in).