I only recently realised the following...

To avoid memory leaks, you should explicitly call the Close / Dispose method when you are finished with your SPWeb and SPSite objects. Alternatively use using structures in your code to ensure that the Dispose method is called. E.g.

using (SPSite mySite = new SPSite(url))
{
    using (SPWeb myWeb = mySite.OpenWeb())
    {
        // Do something here ...
    }
}

Edit: found this article that gives more info http://msdn2.microsoft.com/en-us/library/ms778813.aspx
									

You should use using() or a finally clause on everything you instantiate that has a Close or Dispose method.

This usually doesn't indicate memory leak, it indicates that unmanaged resources are still open.

It's the job of class designers to release unmanaged resources in both the Dispose/Close and Finalize methods. Generally, if you Close/Dispose something explicitly you can suppress the finalizer from being called by the GC:

Private m_finalized As Boolean = False
Protected Overrides Sub Finalize()
    Dispose()
End Sub

Public Sub Dispose() Implements IDisposable.Dispose
    If Not m_finalized Then
        If m_web IsNot Nothing Then
            m_web.Dispose()
        End If

        m_finalized = True
        GC.SuppressFinalize(Me)
    End If
End Sub