One of the earliest issues raised is for Chrome to have a warning when closing multiple tabs (http://code.google.com/p/chromium/issues/detail?id=147) but this has been marked as "won't fix". This is because the developers feel having such a dialog will interrupt the flow of the browser. This can be a pain as the keyboard shortcut for close tab (ctrl-w) is right next to close window (ctrl-q) As many posters have pointed out, this could be made optional like other browsers and even off by default. Also the developers say the browser will reopen the closed tabs but again as people have pointed out, this does not always happen with state aware web sites or if you are in privacy mode.
It is something as simple as this that can really frustrate people and is easily fixed (as was the case when they added a similar warning box when there are outstanding downloads)