Some apps need to load up and run every once in a while to do their job. Locale doesn't do you any good if it can't run periodically to check if any of your conditions (location, time) are met. Email apps need to run periodically to check for new mail. I assume the football scores app is checking for updated scores.
Other apps that don't need periodic updates will stay closed if you kill them with a task killer (like the browser, youtube, nav app).
I do agree is sucks that you can't keep built in apps like the corporate calender from running, even if you're not using it.
Like others said android will automatically close apps if it feels the need for additional resources. If you're really concerned about it, try to choose apps that don't need periodic updates. For instance, the Quick Profiles app stays closed, but then you have to activate the profiles yourself instead of having locale do it automatically for you.