Scripting Reference
MonoBehaviour.OnApplicationQuit

function OnApplicationQuit () : void

Description

Sent to all game objects before the application is quit.

In the editor this is called when the user stops playmode. In the web player it is called when the web view is closed.

JavaScript 
    function OnApplicationQuit() {
        // Make sure prefs are saved before quitting.
        PlayerPrefs.Save();
    }
using UnityEngine;
using System.Collections;

public class example : MonoBehaviour {
    void OnApplicationQuit() {
        PlayerPrefs.Save();
    }
}
import UnityEngine
import System.Collections

class example(MonoBehaviour):

    def OnApplicationQuit():
        PlayerPrefs.Save()