I wasn't meaning to say that you should always keep a Task Manager running on Android. Just have a good one installed on the device. One of the things that I think makes a good Task Manager app is the ability to kill itself. If it can't even do that, then I don't think it's much of a Task Manager.
To me, the entire purpose of a Task Manager app is to give a *MUCH* easier interface to kill unwanted apps from running instead of doing the entire procedure of Menu => Settings => Applications => Manage Applications => Wait for app sizes to get calculated and/or the interface becomes responsive again => Filter for Running Apps => Find and 'Force stop' unwanted apps. For both truly unwanted apps, as well as those apps that don't have a real 'Exit' for the program (what we used to refer to as "TSR programs") like many of the web browsers in Android seem to be, a good Task Manager app seems to be an excellent idea to have on Android, or *any* GUI-based system for that matter. Not to have it running all the time, but to have it available when you need it.
And, in the spirit of the original post, I like Task Manager from Rhythm Software. You can set Auto-kill lists (into which you can put Task Manager itself), and you can set it to not start on Power On. I prefer to have it start on Power On and have it kill the slew of unwanted apps, leave me the notification that it did, and then kill itself/exit.