Windows Mobile 5.0 is out and the X button still does not close applications, only minimizes them. Fortunately, Magic Button 2.0 is now available and adds compatibility with WM5.0, two new options (Soft Reset and Open Running Programs list) on the menu and includes bug fixes. Magic Button is a tiny application (only 71 KB) that allows you to truly close applications, rather than simply minimizing them.
Best of all, Magic Button 2.0 is still free!