R is an in-memory application, so every new object you create takes up RAM. (Yes, there are ways around that, but that's a topic for another article.) If you're working on a small machine (say, a 32-bit Windows system with 1Gb of RAM or less) you might need to be careful with the object you create. This StackOverflow question offers some useful tips for managing objects in RAM, including code for the function lsos to list objects sorted by size:
A great way to identify objects (such as X, above) ripe for deletion with rm when you don't need them anymore.
StackOverflow: Tricks to manage the available memory in an R session?