http://www.freewareppc.com/utilities/quickmenu.shtml
Best out there in my opinion. Smallest memory footprint, can be set to close programs upon pressing X.
Also has an optional "enhanced" start menu that adds a list of running programs to the top of the menu. Very nice for switching back and forth.
But just so you know, X-button can be set to close on tapping the X as well (by default it may be press-and-hold, but a simple config change fixes that).