One other thing -- the "who is online" is probably cached, meaning it is only refreshed every so often (prob. every 15 minutes). This is for performance.
Carey -- I didn't know that! 
You're writing tips for me!
Jojo -- You are like the person trying to peek in the fridge to see if the light goes out! You can never "see" yourself disappear, because the page it is not perpetually updated unless you click on something to get a fresh page -- and of course if you are clicking on the page, then you ARE online! Unless you do logout, in which case you should be able to see yourself disappear, although it might take a little while because of the caching I mentioned above.
Just as an aside, you never need to log out if you don't want to. You are not "using up" bandwidth by staying logged on. The only reason you need to log out is for security/privacy reasons, meaning if you share your computer and you don't want someone else who uses your computer to come here and still be logged in as you.