Not sure if this is what you want.
(defun dld-deselect-frame-hook ()
(save-some-buffers 1))
(add-hook 'deselect-frame-hook 'dld-deselect-frame-hook)
From: http://www.dribin.org/dave/blog/archives/2003/09/10/emacs/
EDIT: It only seems to work in XEmacs