'Save early, Save often' is good advice, no matter what Operating System you are using. Even a perfectly reliable operating system (as if such a thing existed) is at the mercy of the hardware it's running on. Power supplies fail, fans fail, processors fail, hard drives fail, memory fails. Even if you're using the best UPS in the world, the most reliable computer, and the most reliable operating system, there's nothing stopping a clumsy person spilling coffee on it.
Ideally, you should be saving your document (be it a letter, balance sheet, picture, program, or your masters' thesis) every time you add anything of significance to it. Your document should be saved in more than one place, for instance on a desktop machine and memory stick, or on a network drive that is backed up to another (preferably off-site) server. Your aim should be to still have a copy of your work, even if the machine you're working on (or even better, the building you're working in) is reduced to cinders.
Many applications offer features to safeguard your data; autosave timers and version control are the most well-known. Version control means that your work is never really gone - rather than saving the modified document, it saves a list of all the changes necessary to reconstruct the document from scratch. This means that any edit, made at any time, can be undone. Edits don't have to be undone in order - a change made early on can be backed out without affecting the rest of the document. Most IDEs have version control, as do most high-end office suites.
Applications with an autosave timer save copies of open documents every few minutes in a temporary location. Should a hardware or software failure occur, the autosaved documents are reopened, meaning that only a few minutes' work is lost. If your application provides these facilites, you're a fool not to use them.