Comming from winmo I also first had a hard time figure out the task manager. I wanted an alt-tab instead of last runned apps. But the I realised that android works in a different manner.
It just wont kill a process unless its nessesasy. So the last run apps is actually a task manager. About memory its supposed to solve this by itselt and a lot of articles state that using a task killer is a bad thing.
And most apps should be running in background to be quick in response. Like the dialer, and a lot of others. But then again some apps really could use an "exit" even though Google themself tells developers to not include one.
Games doesnt make sense to have running in background unless you explicitly ask for it (playing a game, answer the phone and return to gamestate). And what ive seen most games has an exit.
I use advanced task killer, but i run it only manually and have most apps on ignore-list. This works for me.
Most gps-softwares can run in background, but it seems like its up to the developer to design this. An incredibly lame example of this (maybe its a setup-thing but i doubt it) it the copilot demo included with SGS. If you swap to the home screen and return it is actually completely reset. Not only gps-status, but the whole route needs to be setup and calculated. Imagine that while driving!
But this is not android to blame.
Your description of multitasking sounds more like you are confusing the iOS4 with its pseudo-multitasking-attemt. In iphone4 it works exactly as you describe it and according to steve its "the right way"...
With both android and winmo i have only noticed real multitasking, which ofcource can kill your battery and performace rather easy if you dont know when to kill a process.
GPS i hope they will fix software-wise. The "fixes" in xda does not really work, as you can read in the threads. But by some reason the gps is 1000 more accurate if you turn on wifi combined with gps. No wifi i can be 1000m of, with wifi i get 1 - 5m. And no this is not triangulating wifi-hotspots because there are just no hotspots present here. Celltower-triangulation works ofcource but that has nothing to do with wifi.
Use dark to black backgrounds. The amoled will comsume a lot more viewing a white pixel than a black. The asumption that a completely black screen will use zero battery i dont beleave in thuogh.
And i would also say: turn of automatic brightness and set it to the lest brightness. If you need to push it, just stoke your finger over the top status bar from left to right.
There are some battery-voodoo you can do. I dont have the links and I have not tested it but some claims great improvements. Some kind of ritual with the charger.
Kill all syncs. If you dont need them. My old winmo phone went from 8 hour usage to 3 days (!!!) just by turning of mail-push. Android is 10 times worth sinse almost all apps tend to try to update something at a regular basis.
About kies, I dont use it. Why do you want to use it?