Do you often end up with a lot of related windows together on screen - for example, after double-clicking a folder, then double-clicking one inside of that, and so on?
When you're ready to close them all, don't waste time clicking each and every X caption button (the one in the upper-right corner of each window). Just hold down Shift as you click the X of the last window you opened. Doing so closes that window and all of its "parents" in one fell swoop.