In ZendStudio I was able to "create new file without saving it".
Well, it's not exactly file because it's not saved yet, just a temporary code you can decide to save later as file or not.

It's quite useful when you can open editor and temporary type/paste some code having it's most important features (like autocompletion or syntax highlight) just to check if it has any noticeable errors, use it as clipboard etc.

p.s.
Please check if naming is correct, I'm not sure if all words are appreciative.