This is a minor thing, and not too much of a hassel to deal with, but it seems to me that if a buffer, which is untitled and zero size is closed, you should not be prompted to save. This is indeed how it works if the untitled buffer was never modified, but not how it works if the said buffer has ever changed.

For example. Open up a new buffer. Add some text. Delete all text. Close buffer. Now you are prompted about save, even though buffer is empty and unnamed.

This comes up frequently for me because I often use jEdit to do text manipulations for other programs (such as a the nice search/replace using regexp), or for deleting columns of text for another app, running a regexp search, etc.