For those times where you accidentally close a document without saving it, Word has a feature that saves documents when you close them—including documents that you haven't even bothered to name anything more specific than "Document1." This feature builds on Office's long-standing autosave feature, which automatically backs up the current version of your document every ten minutes (or whatever interval you set in the app's options). While earlier versions of Office deleted the last of these automated backups when you closed a document, Office 2010 instead always preserves the last automated backup and allows you to open it.
To access this, click File, Recent, Recover Unsaved Documents, and then choose the document from a standard File/Open dialog box.