Is it possible to make Blender prompt to save on exit? 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.

About Macs:

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.