I’ve bumped into the article “Sticky Notes” a few times lately, which discusses the headache involved with working long hours in Excel and somehow losing your work, and the possible solution of writing many sticky notes to yourself which might read “Save Often”.
I relate to the article because in the past I’ve written the same sticky notes. Work can be hectic, mistakes get made, and people like to kick power cords.
If you find yourself in this situation the first thing you can do is make sure Excel’s AutoSave option is turned on. You can do this by going to Tools->Options-> then clicking the Save tab.

Also notice on this tab is the Autosave location. If Excel fails to try and recover my document for me, I will manually browse this folder and look for it.
Another way? If you enable macros for a workbook, you can try adding this piece of code to the ThisWorkbook module
Private Sub Workbook_BeforeClose(Cancel As Boolean)
If Saved = False Then
MsgBox "Excel will be closing now." & vbCrLf _
& "Stand up, Move around, Be alert." & vbCrLf _
& "If you haven't saved yet," & vbCrLf _
& "Excel will ask you after you hit OK." & vbCrLf _
& "Please choose wisely!" _
, vbCritical, "Sticky Note"
End If
End Sub
which will give you a gentle reminder before saving.

And finally, if you feel like bringing back Clippy, you can arrive at a creative way to have Clippy give you a message on exit by combining the previous code with J-walk’s “create a fake clippy“.