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How can I stop applications and services from running?

I noticed that some apps automatically starts without me opening it. Some of them runs everytime I turn on the phone (so they are like Windows startup apps in some way). Some others automatically run without an apparent reason, I killed it, and the next time i look at my phone it's there again. by the way I use Advanced Task Killer to kill and see the list of all active apps. And even weirder, some apps are apparently triggered by opening the android market.

What is the mechanics of this, and how do I control which app can automatically run?