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Check out iTerm2 if Terminal.app isn't doing it for you anymore. http://www.iterm2.com/

Thanks for the tip will definitively try it out.

Edit: Wow I just put my shell command /bin/zsh and the default behavior seems to fit my needs without reading all the options. It closes all the tabs when I quit, it doesn't keep a kind of useless history displayed when I start a new session, the theme thing works right away. Thanks, I will be using it from now on.

What's wrong with Terminal.app behavior?

Terminal.app barely changed between 10.6 and 10.7. I have the same settings I've had since 10.5, actually.