Middle click is obscure and most mice don't have a middle button. CTRL-W is a nice shortcut... but a button right there in the tab makes the most sense and is easily visible. To even find out about these other two options I had to come here.

Well, dang, I was today years old when I learned that I can Ctrl-W or Middle-Click tabs to close them. Still, would be nice to have an option to enable an X on each tab if so desired (like Notepad++).

@dvjc It's true that not all mice have a middle button but the middle button was added to allow a single button action to replace the chord-click that was around before two-button mice had scroll wheels that also acted as the middle button. A chord-click is simply a simultaneous click on both left and right buttons; it still works now, even on mice that have a middle button.

Besides the keyboard shortcuts you mentioned, LINQPad also supports Ctrl-W, which has become fairly universal for closing tabs in tabbed interfaces.

I am thankful that the middle-click closes the tabs - was unaware.
However, not all mice have a middle-button.

I supplement @Dave Shaw with

Did you know there are several ways to close individual tabs?
You can right-click (and see a list of options - to include 'Close Query').
You can also Ctrl + F4 (which offers a confirmation modal - in case you wanted to save it).
You can Alt + F (which opens the File Menu dialog) and select 'Close Query' there as well.

I like keyboard shortcuts; thank you Albahari, for including these logical alternatives.

Did you know you can middle click the tabs to close them?