One of the big new features in the upcoming OS X Lion is auto-resume for all applications.



From MacRumors:

From Apple's OS X description of the Resume feature:Now apps you close will reopen right where you left off, so you never have to start from scratch again. And when you install software updates, you no longer need to save your work, close your apps, and spend valuable time setting everything up again. With Resume, you can restart your Mac and return to what you were doing ? with all your apps in the exact places you left them.

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