I've not used all window managers available but with Afterstep, Enlightenment and KDE, I've always been able to just close down Xwindows and have all my apps reloaded as they where when I started up X again.

I would love to see someone write a proper multiple desktop system for Windows. I'm spoiled by my time away from it and always feel restrained by the single desktop when I do have to work with it. None of the virtual desktop or window manager replacements for Windows have yet to do it right.