I realized my mistake at the moment I was clicking on it, but it happened to fast to stop. I had to sit and think for a moment. Why did I do that? It drove me to write this pretty immediately and do a couple mock ups for solutions. I never want to let my users loose information or control over it. That is, we don't want them to OK a message away and neglect to actually read it and we don't want them to click "send" before they're really, really ready to confess their never ending love to Glenn Beck.
Those are two distinct safety nets. Information the user missing for being click-happy and actual actions within the application they might have wanted to avoid. Any reversible actions, like closing a dialog box or deleting something (if a copy is kept around for safety) should be given easy undo options. Even closing an entire window, if made easy, should be something you can undo.
Of course, you can't undo sending an email or formatting a USB drive. You can undo an archive and compress operation that replacing the original files, by extracting them (even if the extraction is bound to an undo button), but if the undo is sufficiently expensive, give me the chance to avoid it in the first place, please. Make to pause and think about what I'm doing first.