Why is it, 10 years after the publication of Alan Cooper's seminal About Face, applications still regularly present this dialog to me?

Cooper said it best on page 136:

It is possible to argue that users have come to expect this behavior; that its absence would cause experienced users to fret that changes were being mistakenly discarded when the program ends. This rationale is like saying that a beaten dog expects to be beaten again, so we should beat it to make it happy. The time to make our programs better is now.

It never ceases to amaze me how little real progress is made in the area of UI. In this era of 300gb hard drives, I should never be explicitly prompted for much of anything. Save it all, and recall the stuff I need. Don't ask me for permission, just do it, and let me take it back later if I need to. Of course this is harder to program, but so what?

When presented with a database application for the first time, many users ask: "But how do I save?" Imagine that. An application that saves your work automatically. Revolutionary!