Does Blender have a setting or addon that makes it prompt you to 'save unsaved changes' when you close the window like other applications? I cannot count the number of times I have lost small pieces of my work because I exited the program just to check if I had made any changes.
Yes, (But only on MS-Windows) open User Preferences and look under Interface, you should see a checkbox with Prompt Quit beside it.
Additionally, or preferably you can use CtrlAlt + U to save it and make it load with your other defaults.
Closing the app with CmdQ invokes the save prompt. Quitting with CmdW doesn't. (possible bug?) The only indication that you haven't saved is the 'dot' in the red, close-window button, top left of the window.
Additionally, Blender auto saves to a temporary directory every 5 minutes by default, (settings located in User Preferences > File)
It also automatically saves a
"quit.blend" file in a temporary directory when it has exited. (This is recoverable by going to Info > File > Recover last session)
Blender even saves backup files in the directory that your file is saved in
(foo.blend1, blend2) for a more permanent backup.
See this question for more info on this.. Blender saves a new file every time
All of this is default behaviour.