In Mountain Lion, it is possible to restore all open windows when an application (including Preview) is re-open. Although, this setting can be turned on/off in the system preferences, you may still be bothered by a lot of open windows as each new file is opened in a new window by Preview. Here is a quick tip to close all these open windows at once.
Just wondering why Apple didn’t provide this quite important option in the standard File menu! Why the need of holding down any special key to perform some basic task?!