Firefox 4, released today, does not seem to ask to save open tabs when shutting down. It always asked that in version 3.x, so I consider this a regression. To restore the previous behavior:

1. Navigate to about:config and accept the warning
2. type quit in the filter box
3. Make sure that the browser.showQuitWarning key is set to true.

It's surprising how Mozilla slipped on this seemingly trivial setting, which should be enabled by default. On a related note, very much like in Google Chrome, you can now pin tabs as Apps (right click on the tab, Pin as App Tab).