Whenever you quit X11 in Leopard (not sure about Tiger), you get a confirmation dialog to confirm that you really want to quit. If you want to get rid of this confirmation dialog permanently, you can. Open a terminal window and type the following, followed by the Enter key:

defaults write org.x.x11 no_quit_alert true

This will get rid of the confirmation dialog when you quit X11 in Leopard. If you want to get the warning backs again, repeat the above command and change true to false.