There are some applications you can't close (Messages, Browser, Home Screen, BBM). The others would be application specific. If they don't close in response to the escape button, there is usually a menu option.
A well written application should not affect your CPU performance unless it is performing some function. Then presumably you ran it so that it would perform that function. You can monitor application for resource consumption by going to Options -> Device -> Application Management where you will find the aility to display current and past usage of CPU, Memory, Application Storage and your Usage.
(Darn juaack68 beat me again