Suppressing the SSMS prompt to save changes
In SQL Server 2016 this is apparently coming.

The pre-release docs says


  New option to skip prompt to save T-SQL files We have added a new
  option under "Tools|Options|Query Execution|SQL Server" to control if
  a prompt is shown for unsaved T-SQL files.




In previous versions there is no setting to suppress this warning.

A connect item was raised about this by Erland Sommarskog and closed as won't fix with the explanation.


  Hello Erland - 
  
  I did a review with some of the other product teams and to stay
  consistent within our guidelines we're not going to be able to do
  this. Excel, Visual Studio and other products won't let you save with
  changed content, so we have to pop the message.
  
  Thanks!
  
  Buck Woody, SQL Server Program Manager


The Connect page is returning an error at the moment so here is a cached copy of it.