Something I just tried on a whim that saved my sanity doesn't seem immediately obvious, so I thought I'd point it out ...
Normally, when you close a document without saving, that's it, game over, document gone. In Stickies, you can actually undo closing a sticky note you didn't save -- even after you confirm with the "Don't Save" button! I had a floating note and didn't realize I was going to close that one. I hit undo, and it came back!
Woot!
Mac OS X Hints
http://hints.macworld.com/article.php?story=20030915172518384