Apple's implementation of limited multi-tasking on the iOS4 platform is something of a mixed blessing in my opinion. Every application you open remains in standby mode until you call up the list of running apps and close them down manually. For most apps this isn't a problem because they just sit there doing nothing. Some, though, are constantly on watch and continually check for updates. Typical of these are all instant messaging apps and those relying on GPS (such as, for instance, TomTom navigators). If you leave these running in background mode you soon find your battery draining. I wouldn't mind betting the most people who complain of short battery life never bother to check and close applications running in background mode.
Now we have another good way of running down the battery with the latest update to Skype. I use Skype a lot, primarily for making overseas calls at the cheaper rates on offer but I am always quick to kill the app once I've completed the call. In the past I've forgotten and realised that my Skype status is shown as "online" and I have occasionally received Skype calls that come in like normal telephone calls. The latest upgrade to Skype allows you to go into offline mode so that you can now run down your battery without anyone realising you are doing so.
I strongly recommend closing down all IM and GPS applications when not needed. For newcomers to iOS4, you double tap the home button and all applications running in multi-tasking mode are shown along the bottom of the screen. You can scroll along to see the full list (which is usually long). You close down running apps by pressing one of the icons until all the icons show a red minus sign. Just tap the red circle on all the apps you wish to lose down. Note that this action can be confusing because it is similar to when deleting applications. At first you fear you are permanently deleting an app while all you are doing is closing it down.
You can safely close everything, even Phone and Messages because they will restart automatically when traffic comes in. Any IM apps, however, need to be left running in background mode if you want to receive traffic. However, if you do this you will run down your battery sooner.