There are many startup options for R.  By default when you quit R, it will prompt you on whether or not to save the current workspace.  My personal preference is to make a fast exit without the bother of this prompt.  Another personal preference is to avoid the usual starting messages in the Console Window.  Both of these things can be done by starting R with the options:

--no-save --silent

If you want to automatically save on exit then use:

--save --silent

In MS Windows you can start R with these options by right clicking on the icon and selecting Properties.  In the properties window, select Shortcut and then in the Target entry add the options to the end of the line so you have something like:

S:\R\rw0901\bin\Rgui.exe --save --silent

Two very important startup options are --nsize and --vsize which control the size of the workspace.  If you workspace gets too large, you may have to save your work and restart using one of these options, usually vsize.  The R command gc can be used to monitor the size of the workspace.  For more details, see the Appendix B: Invoking R in Introduction to R