Show confirmation dialog before actually quitting the Unity Editor.

EditorHelper.cs

using UnityEditor;

[InitializeOnLoad]
public static class EditorHelper
{
    #region Constructors

    static EditorHelper()
    {
        EditorApplication.wantsToQuit += OnEditorWantsToQuit;
    }

    #endregion

    #region Methods

    private static bool OnEditorWantsToQuit()
    {
        return EditorUtility.DisplayDialog("Confirm Quit", "Are you sure you want to quit?", "Yes", "No");
    }

    #endregion
}