Amongst various features of Mac OS X Lion the one that I find very helpful is Resume feature. It’s hibernate on steriods. Along with OS it will cache the state of your applications as well. On next reboot you will be welcomed back as if you never shut down you Mac!
Resume is the default behaviour on Mac, you can choose to opt out permanently or for a particular session:
Unfortunately you can even control which applications you want to participate in this resume process, however here is the setting to turn off/on Resume feature in OS X Lion:
Lion’s Resume feature will even save “Untitled” and unsaved documents, and they will show up again when you restart.