It really depends on how you decide to run your program.
1. In the IDE.
Most IDE's (eg recent versions of code::blocks) automatically hold the console window open when the process exits.
Here you will find the extra 'press a key to continue' somewhat amusing since you'll get prompted twice.
2. By double clicking on the .exe using explorer.
This is the only case where you have to worry about premature window closure.
3. Run from the command line.
From a console command lines, typing in \path\to\program.exe just runs the program as you would expect. The window doesn't close when the program exits.
Here you will find the extra 'press a key to continue' somewhat annoying.
4. Run in a batch file / other process.
If you get to the point where your program is doing something useful, perhaps you want to integrate it with other programs.
Eg.
Code:
myprogram.exe somefile.txt | sort
Here you will find the extra 'press a key to continue' downright frustrating.