When you hit Command-W to close an unsaved document’s window (or click on the red “stoplight” button at the upper-left of the window), you’ll of course be asked if you’d like to save.
In Snow Leopard, you could choose “Don’t Save” from the keyboard by hitting Command-D. For Lion, the shortcut is now Command-Delete. You’re done. You don’t have to learn a darn thing more. Whew.
Remember, though, that programs compatible with Auto Save in Lion will only show the dialog box above if you haven’t already saved your document. If the file you’re working on has been saved somewhere, you can close its window any time you’d like without having to deal with any nonsense.