In Safari 3, Apple added a feature to warn you when you close multiple tabs. This is a good feature, and can be turned off if not wanted. But I like to be able to have it on as a safety net, but not be annoyed by it when I know I want to quickly close Safari. So, to bypass the warning just once, hold down the Option key when closing a browser window with multiple tabs open.
Warning: when multiple windows are open, this also closes those other windows without a warning.
Mac OS X Hints
http://hints.macworld.com/article.php?story=2007071221190567