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Applications are actually directories full of files (called packages), with a bit set that tells the Finder to put on the illusion that it is just one item. If you want to look inside one, select it, either right-click or control-click, and choose Show Package Contents from the popup menu that appears. Or you can choose Show Package Contents from the gear menu in the Finder toolbar. A new window will open showing you the contents of the package.

Some of the Omni document formats are also packages. If you might need to change only parts of a file, using a package can be much more efficient if the file is large. OmniFocus stores its database as a package consisting of 1 file containing the bulk of the data plus a small file for each additional change that hasn't been compacted into the big chunk. OmniOutliner and OmniGraffle use packages so that you can easily attach files to documents by just copying the data into the directory instead having to create an entirely new file.

It's interesting to spend some time rummaging through all of the folders in an application, seeing all the pieces that are involved makes you appreciate how much work was done on your behalf in exchange for your cash :-) The copy of OmniFocus I just checked has over 3,500 files in it! Of course, having language localizations for several languages makes that count climb rapidly.