OMG I've never done that but now that I know about it I'm very afraid. If I do it tomorrow I'm blaming you.
Now, if you accidentally press Cmd + Q, it should prompt a "Hold Cmd + Q to Quit" instead of actually quitting.
Also, I made a mistake, it doesn't close the window. It closes all windows at once. Be afraid!
For some time, the Chrome team refused to implement a 'Sure you want to quit?' popup due to a general anti-popups consensus. They also refused to implement a checkbox to enable that behavior due to a general anti-configuration consensus. They've since relented on the latter.
It is not easy to find a right balance between providing adequate functionality while avoiding information overload. The web is still evolving. We are learning and we will do better (overall) as time goes by. :)