I think Toad for SQL Server (60 days freeware trial version from Quest software) includes this feature.
David
[off-topic]
You can avoid losing unsaved queries by clearing the checkbox "Do not prompt for unsaved files on closure" in the QA options
FYI
A product called Aqua Data Studio stores out a history of queries.
It works with both Oracle and MS SQL .
I have been working with their demo a little bit ; price is reasonable
FYI.
Instead of figuring out how to find the last unsaved executed query in SQL QA, I started using Teradata SQL Assistant tool which can be used against most of the databases and stores all the queries in a history file. The cool thing about this tool is that history file is displayed right in this analyzer in a tabular format and you can just select and also search on whatever previous queries you might have executed.
Thanks to all for your suggestions.