That's called caching. :-P
Memory that is actively in use by a running application will fall under the Wired and Active categories (one or the other, or a bit of both, depending on the type of application). When you quit the application, the memory that was required for operation is released, but the memory that actually kept the executable image is marked as Inactive.
If you happen to start iTunes again, it'll start faster because not everything has to be re-read from the hard drive. When another program really needs more memory, it'll start taking from the portion of the Inactive pool that is caches.
A common phrase around these parts is "Unused memory is wasted memory". If you have 2 GB of memory in a computer, but you really only need 400 MB for what you're doing, wouldn't it be nice if those remaining ~1600 MB were used to speed things up a bit? That's exactly what all modern operating systems do. :-)