Well, it's torture when you are traveling and you turn the car on to loud static. And even worse if you have to explain it to a passenger. Fortunately, as noted above, you can just turn the volume down before turning the car off. Pressing the volume knob doesn't have the same effect.
My last car (Mazda 3) turned on whatever was last playing. If I turned the volume to 0, my USB disk would keep playing silently and I would lose my place on the disk. The Subaru always turns on the radio, not whatever was last playing. I find both systems obnoxious. I may want the radio/disk on, but not until I have backed out of my parking space and am on my way.