Say you end your .xsession with the line exec fvwm. This means that the fvwm window manager will be run when X starts. When you quit the fvwm window manager, your X session will end, and all other clients will be shut down. You do not have to use a window manager here; you could exec xterm, in which case typing exit in that particular xterm would cause the entire X session to end.
If you want to run other clients before you use exec, you will need to run them in the background. Otherwise .xsession will pause until each client exits and then continue to the next line. See the previous section on running jobs in the background (basically you want to put an ampersand at the end, as in xterm &).
You can take advantage of this behavior, though. If you want to run commands at the end of your X session, you can have your .xsession run a window manager or the like and wait for it to finish. That is, leave off the exec and the &; just enter fvwm by itself. Then put the commands of your choice after fvwm.
It would probably help to look at a few sample .xsession files. In all the examples, replace fvwm with the window manager of your choice.
The simplest .xsession just runs a window manager:
exec fvwm
This will run fvwm, and the X session will end when fvwm exits. If you do it without the exec, everything will appear to behave the same way, but behind the scenes .xsession will hang around waiting for fvwm, and .xsession will exit after fvwm does. Using exec is slightly better because fvwm replaces .xsession instead of leaving it waiting. You can use the ps or top command to verify this.
A more useful .xsession runs a few clients before starting the window manager. For example, you might want some xterms and an xclock whenever you start X. No problem; just enter xterm & xterm & xclock & exec fvwm. Two xterms and an xclock start up in the background, and then the window manager is launched. When you quit the window manager, you’ll also quit X.
You might try it without the backgrounding just to see what happens. Enter this command: xterm xclock exec fvwm. xterm will start, and wait for you to exit it. Then xclock will start; you’ll have to exit xclock before fvwm will start. The commands are run in sequence, since the script waits for each one to exit.
You can use sequential execution to your advantage. Perhaps you want to keep track of when you stop working every day: