Correct. App Store apps (including Apple's own) are sent a signal when the user presses the Home button. They then have a small number of seconds to persist whatever state they need to. Some nice apps are like Tweetie: it saves (most of) the current state of the UI so that when you come back, they reopen right where they had been. Apparently iWork for iPad does the same.

Makes one wonder whether the Cocoa Touch frameworks could help with that some...