Except that they take up room on the SD card. Install and remove enough apps and you could lose a sizeable chunk of space. In Manage Applications, I would tap the app name, then the Clear Data button. Then I'd do the Uninstall. That should clean things up.
Sorry, doesn't work. I rely on those buttons for hacking Robo Defense. Or at least that app doesn't work that way...
What happens when you press the "Clear Data" button there is that the App Manager will remove the data from the System cache and (hopefully) Dalvik cache. It will not remove the files from the SD card.
So, at least for Robo Defense, which I'm quite sure will apply to other apps, it doesn't work that way