Some activities can be linked to services that will run with no regards to the Activity lifespan. Most implementations will have a stopService in the Activitie's onDestory so if that's the case killing a task may disable a running process.
(Alternatively, there are some nasty apps that start at boot and won't quit, like Sipdroid. Those you have to kill with fire. But it's a special case, and not how normal users use task killers.)
The other case is the homescreen-killing issue; that is something task killers can give the illusion of fixing. But it's better to install CM, enable compcache and swap, and never deal with that BS again. I did that, and it staved off my need to spend $600 on a new phone. Task killers, in comparison, did nothing, because they don't solve any underlying hardware problems (or work around them in a clever way, like compcache).
Better yet, Settings -> About phone -> Battery use. Display and Cell radio usually dominate this list.