You might as well get used to it. Apps do not have quit buttons, or at least not most of them. The Home button is the normal way of exiting all apps. And you can hardly expect an app to go back to another program. Even computer programs don't do that.
You can get redirected to iTunes from a desktop browser too. I realize you usually have the browser on the same screen, so it's easy to just click on the browser window and continue, or quit iTunes and see the browser that was covered. But you don't get there by hitting a back button in iTunes.
The iPad is a mobile device. It doesn't run multiple apps in the same window. It has to switch. Double tapping the Home button to task switch is just something new to get used too. It isn't that painful.
BTW, my Droid X isn't much different. There is a hardware back button that will 'sometimes' back through apps. Then again, sometimes it doesn't. Very unpredictable, so it's easier to just hold down the Home button (kind of like double tapping Home on the iPad" and select from the most recent apps.