It sucked when that happened, which is how i developed a habit for saving my files even when i'm doing nothing and even pressing the save shortcut key several times :-P.
But at the same time it can be a convenience if you dont want to save but instead make a small change to try something out.
Yes, I remember it being very pleasant when borland C++ crashed after running your application, losing your unsaved work.
edit: that was on windows 95/98 time; so it is more likely that the application crashed the whole OS.