That depends on what you have setup. The Spektrum has a built in fail safe option, which is pretty useless. It gives you a min throttle default, but in a quad copters its useless, because a min throttle your copter still crashes. The APM also has a fail safe option, which you can set to either continue auto flight or RTL. Check the wiki for the setup instructions.
Replies
http://code.google.com/p/arducopter/wiki/Failsafe
+1 on Richard's post.
As a test for my home built 3DR chassis and DX6i, I hovered about 3 feet off the ground, over thick grass, and shut off the transmitter.
Instant minimum throtte. Instant descent to the ground. That was the Spektrum Rx failsafe taking over.
I have yet to explore the APM failsafe options and configurations. Failsafe and Simple modes are two I plan to explore next.
21 battery cycles on my current airframe (Stabilzed mode only) indicates it is stable enough to venture into other features.
Experiment on!
-=Doug