The object will not be saved to the scene. It will not be destroyed when a new scene is loaded.

It is your responsibility to cleanup the object manually using DestroyImmediate, otherwise it will leak.

	// Instantiates a Plane everytime the game starts and never destroys it
	// even if you stop your game preview
	// NOTE: Watch out, this can cause LEAKS
	function Start() {
		var notDestructable : GameObject = GameObject.CreatePrimitive(PrimitiveType.Plane);
		notDestructable.hideFlags = HideFlags.DontSave;
	}

using UnityEngine;
using System.Collections;

public class Example : MonoBehaviour {
    void Start() {
        GameObject notDestructable = GameObject.CreatePrimitive(PrimitiveType.Plane);
        notDestructable.hideFlags = HideFlags.DontSave;
    }
}

import UnityEngine
import System.Collections

public class Example(MonoBehaviour):

	def Start() as void:
		notDestructable as GameObject = GameObject.CreatePrimitive(PrimitiveType.Plane)
		notDestructable.hideFlags = HideFlags.DontSave