If you are using Lion, the reason this happens is because you are not quitting your apps properly. Lion is set by default to re-open everything you left open, including the documents you were working on, when you restart. So you are probably not quitting your apps properly.
The red "X" button in OS X does NOT quit apps as a rule (there are some exceptions). It *closes the active window* but does not quit the app. You can tell by the white dot under the icon in the Dock. So before you shut down, remember to QUIT all the open apps (or better yet, get in the habit of properly quitting them when you are done with them. It only takes a second or so to re-open them if you need it, so there's really no reason to keep apps running all the time).
If you are NOT on Lion, you may have accidentally selected the "open at login" option by clicking-and-holding the icon on the dock and selecting this. It can be de-selected the exact same way, so in your case you would start up your Mac, let each app open up, then go to their icon on the dock, press and hold, re-select the "Open at login" option (this de-selects it if it is checked. If it is NOT checked, don't do this).
Hope that's clear -- first paragraph only if you're on Lion (OS X 10.7 or higher), second paragraph only if you're NOT using Lion.