In addition to what was said above, there also is the temporary assignment possible with local, which will also close your file handles as soon as they go out of scope:

sub scan_file {
  my ($filename) = @_;
  local *FILE;
  open FILE, "< $filename"
    or die "couldn't read '$filename': $!";
  return grep { ! /^#/ } FILE;
  # Perl closes FILE here
};
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But if you're already using Perl 5.8.x and don't need your script to run under 5.005, use the three argument open and the lexical filehandle as proposed by geekgrrl above.