Just noticed this a few minutes ago. Have you ever wondered why some Terminal windows have a dot in their red Close button while others don't? As it turns out, the dot appears when you are running a program that will cause Terminal to warn you before closing. By default, this includes all programs except rlogin, slogin, ssh, and telnet.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20030503193352439