What you're running into is Styles, and I would recommend reading up a bit on them. However, here's the quick view of your problem:

By deleting the bullet, you are not changing the Style of the paragraph. The bullet style, as you know, has been designed to make the paragraph after a line return the same style. You need, when you finish you bullet list, to return to your Normal.

First, turn on the Paragraph sign in your ribbon. I don' have 2010; in 2000, it's on the Home tab and is the button in the Paragraph section with the "backwards P". That way you can see the empty paragraph if you wish. (This is optional, but professional DTP folks keep this on nearly all the time.)

Second, you need to open your Styles pane. If the Ribbon is like 2007s, Home, Styles section, and click on the tiny arrow at bottom far right (or, press Alt+O, then S).

When you finish your bullet list and press enter, instead of deleting the new bullet, scroll in the Styles pane until you find Normal and click on it. This will change your empty paragraph back to your Normal style.

There are keyboard shortcuts for this sort of operation, which you can find on the web, of you're interested.