In Lion, how can I configure to not automatically re-open recent files that weren't closed?

System Preferences > General

Uncheck the Restore windows when quitting and re-opening apps.

You can also toggle this behavior by holding the option key when quitting an application.

Added - October 19, 2012

In Mountain Lion, this option has been changed to read, "Close windows when quitting an application" with fine print to explain that open documents will not be restored.

If you're running Lion, this is a built-in feature called Resume.

To prevent apps like Preview/TextEdit/other apps that support Resume from "resuming", quit them with Cmd+Opt+Q.

You can disable the resume feature on a per-app basis as well. See the section titled "Stop Preview (or Other Apps) from Restoring Windows" at http://www.maclife.com/article/howtos/how_tame_six_os_x_lion%E2%80%99s_early_problems

According to the article's author, the command line (to be executed in Terminal.app) to disable the resume functionality only for Preview is

defaults write com.apple.Preview NSQuitAlwaysKeepsWindows -int 0