When you knit in stockinette stitch, the last stitch (which of course becomes the first stitch when you turn the work) is not supported by a stitch on one side and hence is loose. When you knit it on the next row, make sure that for the first couple of stitches, you give a tug after you wrap the yarn. It will tighten up, and sometimes actually seem to wrap around the needle.
Another thing that can produce a loop at the end, and give you extra stitches, is if you do an inadvertent yarn over at the beginning of the row. Make sure your yarn doesn't wrap around the shaft of the needle as you make your first stitch.
Another thing you can do is to slip the first stitch of each row. This looks especially nice on scarves.