I'll add my vote for removing the [X] entirely if you can. It should behave like a Cancel, i.e. discarding changes and closing the dialog, but it leaves users to wonder whether it really is the same thing, and if so, why there are two controls that function identically but look different.
The behavior of a button labeled Save is in some ways a more difficult question. In both Windows and Mac OS, we've gotten used to the term "Save" as meaning "save and continue working," and even though we don't see it that often anymore (we're usually hitting Command-S or Ctrl-S), I think that meaning lingers enough to create doubt when we see it as a command button's label.
My rule in a situation like this would be that the button should close the dialog; unless there's a need to preview the changes made in some other window, or what you're doing in the dialog is so lengthy a task that there's real danger in not being able to save it as you go along (in which case you might consider Preview and auto-save, respectively), there's no reason to keep it open.
So I would opt for a label that has come, for better or worse, to stand for "accept and move on": "OK". The OK/Cancel pairing is everywhere, and even though it might feel weird to end a form dialog with "OK," it's the kind of weird that happens when you stare at a word so long it turns into nonsense. Most users won't have to think about what it means, and that's just what you want.
(If for some reason you need a Save that really does mean "save and continue," you want either Save and Close or Apply and Close. "Save and Continue" doesn't pair with "Cancel" because we understand "Cancel" to discard all the changes we made, and it's not clear whether that's all the changes made since we opened the dialog or all the changes made since we last saved.)
[X]. Something which will be appreciated very much by people who are not so deft with a mouse. And not being deft with a mouse is not something reserved for the elderly. Plenty of people around with other causes for not being able to point and shoot all that accurately. – Marjan Venema Feb 17 '12 at 19:52