To me "Cancel" means discard all of my work. In Mail's case, hitting "Cancel" asks if you want to save your message as a Draft or Discard your changes.
Even though I know that the option of save as a Draft will pop up after I hit Cancel, it still makes me nervous to do it.
Even more disconcerting, if you reopen a Draft and need to save it back as a Draft, hitting Cancel doesn't even bring up a dialog box to ask what you want to do. The message just closes. Your changes are saved, but still....
Many of Lion's design changes were borrowed from iOS on the iDevices. In fact, Mail on the iPad has the same Send or Cancel option on a new message. Apple seems to have copied a bad idea from the iPad straight to the Mac.
As I said before, there are many great aspects to Lion's Mail and I'll write about them in upcoming tips. I just needed to get this one bad design choice out there first.