If it's your first Steam game and don't have an account (as it was for me with Portal) You have to download Steam and create your account, etc, which with a bad internet connection takes forever.
The Steam client only has 1.551 KiB. Even if you have only 56k Dial-Up, it only takes 4 minutes to download it.
It's still an inconvience that I don't want to have to deal with. And on my old internet connection, I would average about 15-30 kb/s (I know, that's pathetic, but it's true). And if you don't have internet for whatever reason when you're installing your game, you're screwed.
The point I was trying to make is that on most programs, you click the little red X in the upper right corner, and the program ends. I close MS Word, and there isn't any system tray application of Word still running. Steam doesn't do that, which really bugs me (like I said, it's a small thing, but I find it annoying). I don't really care that other programs do it too, it bugs me when they do it. Steam just has the added bonus that it does other things I don't like too.
It's a common behavior for applications that provide some sort of service. Otherwise it would be annoying if the service shuts down too, every time you close the GUI. Do you not use such applications at all? E.g. ICQ, Miranda, MSN, Skype, SpeedFan, any Personal AntiVirus, any Personal Firewall, Disc Emulators, etc.
Except some of those applications actually have legitimate reasons for continuing to run. If your antivirus isn't running, it's not doing it's job, which is a problem. MSN and Skype need to be running to recieve messages/calls. If Steam isn't running... nothing happens. As far as I'm concerned, there is not good reason for Steam to continue running when I'm done using it. Some people might want it open for community features or whatever, but I don't. They could at least give me the option, like Impulse lets me disable Impulse Now.