Confirmation before closing of tab/browser

Question

Try this:

<script>
window.onbeforeunload = function (e) {
    e = e || window.event;

    // For IE and Firefox prior to version 4
    if (e) {
        e.returnValue = 'Sure?';
    }

    // For Safari
    return 'Sure?';
};
</script>

Here is a working jsFiddle

Try this:

<script>
    window.onbeforeunload = function(e) {
       return 'Dialog text here.';
    };
</script>

more info here MDN.

I read comments on answer set as Okay. Most of the user are asking that the button and some links click should be allowed. Here one more line is added to the existing code that will work.

<script type="text/javascript">
  var hook = true;
  window.onbeforeunload = function() {
    if (hook) {

      return "Did you save your stuff?"
    }
  }
  function unhook() {
    hook=false;
  }

Call unhook() onClick for button and links which you want to allow. E.g.

<a href="#" onClick="unhook()">This link will allow navigation</a>

The shortest solution for the year 2020 (for those happy people who don't need to support IE)

Tested in Chrome, Firefox, Safari.

function onBeforeUnload(e) {
    if (thereAreUnsavedChanges()) {
        e.preventDefault();
        e.returnValue = '';
        return;
    }

    delete e['returnValue'];
}

window.addEventListener('beforeunload', onBeforeUnload);

Actually no one modern browser (Chrome, Firefox, Safari) displays the "return value" as a question to user. Instead they show their own confirmation text (it depends on browser). But we still need to return some (even empty) string to trigger that confirmation on Chrome.

More explanations see on MDN here and here.