Sometimes I like those "Are you sure" pop-ups, other times I hate them. I particularly Hate them in Windows, like when you want to quit a game and you're on the title screen after leaving a game. If you saved and left the game to go to the title screen, and then you hit "Quit", it should quit. Obviously I'm sure or I wouldn't have saved my game and exited the map.
Sometimes they can be very helpful though, such as Civ's suggestion for exiting the map editor. I wouldn't mind seeing it on All The Editors actually. I already quit the tile editor once by accident and I lost probably the best tile I had ever made in my opinion. Needless to say I was so pissed off at myself for hitting the wrong button I stopped working for the night and couldn't get motivated again to get back to work that night.
I would also like to see a option setting for being able to turn the "Warnings Off" or "Warnings On", that way when I'm not in the mood to be treated like a indecisive moron I don't have to be...lol. Like I said, when done too often those things can really, Really, be annoying.