iPhoto has done it forever. It still feels "wrong" to me though. I guess I understand the reasoning behind it, and iOS mostly works that way (at least as far as a normal user will notice), but so many Mac OS apps - both current and historical - have _not_ worked that way, so iPhoto always seems strange to me.
iPhoto is a single-window application - only one window is ever used. Such applications usually (and should) quit on closing the main window. Immediate examples I can think of are System Preferences, calculator, but there are many more examples
Anything that allows working with multiple documents should remain open even with no windows (or unless auto-killed).
