Depends on what ROM you are running. If you are stock, you can hit the home key which kills the app activity, yet if it has background actions they may still be running. On a stock X, if you want to tally kill an app and its processes you would do that in the app management menu by tapping Stop. Undesired effects may follow, may not depends on the app.
On custom ROMs we run, such as MIUI, there is a built in function by long pressing Back, that kills the app and its connection(process). You can set it to how long the press is, from 2 seconds to .5
I know back on Liberty froyo there was something similar.