gconf-editor: apps | metacity | general has a few options. Check out the “application based” checkbox, that allows Alt-Tabbing by application instead of window. This would be handy when using Gimp.
gnome-session-remove nautilus
Leave whatever applications open you want to be there on startup. If it's hooked into gnome it'll reappear when you login.
Alt-F2
gnome-session-save
On the same tab, you can specify what to do with all manner of media events (like what to run when inserting CD/DVD media)