You probably already know one way of visually checking whether or not a file you’re working on has unsaved changes or not—just glance at the red button in the top left corner of the window’s title bar. If the button has a dark gray blob in its center, then the file has unsaved changes.
But here’s another quick way to tell—and you won’t have to move your eyeballs as far, either. Instead of looking to the red dot, look to the middle of the title bar, where the document’s name and icon appear. If your document’s latest changes are saved, the icon will be solid (on the left below); otherwise, if there are changes to be saved, it will be dimmed (as on the right below):

This icon is much more than just a visual indicator, however. It’s called a proxy icon, and it has a special role in OS X—it serves as a representation (or proxy, hence the name) for the actual document. So you can actually move your document to a new location on your machine by clicking and holding on that icon, then dragging. If you command-click on the icon (or the document’s title), you’ll get a pop-up menu showing the full path to the document’s save location. Dan Frakes covers a few more tricks in the Use Title-Bar Proxies section of Panther Secrets Declassified, if you’d like to know more about this powerful little image.