For me, this is one of the worst things about Android. There is zero consistency in what the 'back' button does. Even as a developer this is something I struggle with, what should the back button do in a specific case? Does it go back to the previous screen or does it go back one level in a drill-down navigation (which can sometimes, but not necessarily always, be the same thing).
Sometimes it's up one level in the navigation structure, sometimes it's go to the previous screen. Sometimes it's close a dialog. Sometimes it's even close the application. Depending on the context it could any of these, and it can be unclear which one if multiple could apply. The only way to find out is press the back button and see what happens.
I hate ambiguous user interface elements. When I click on something I'd like to know what action it will trigger.