Is there a keyboard shortcut for Don't Save? One thing I do a lot is Command ⌘-Tab over to TextEdit, jot down some notes, and then decide to throw them away.  I can close the window with ⌘-W, but is there a way to not-save it from just the keyboard?

Escape simply cancels the close. ⌘-D takes the file-picker to the Desktop (and I thought this used to work, pre-Lion, but maybe I'm just imagining it).

Is there a keyboard shortcut for Don't Save, short of turning on Full Keyboard Access?
The default shortcut was changed to ⌘⌫ on Lion.

You can change it back to ⌘D with defaults write -g NSSavePanelStandardDesktopShortcutOnly -bool true. It won't affect some applications like TextEdit though.