Try
function wpse46583_save($post_id,$post) {
// verify this is not an auto save routine.
if ( defined('DOING_AUTOSAVE') && DOING_AUTOSAVE ) return;
//You should check nonces and permissions here
if ( !current_user_can( 'edit_page', $post_id )
return;
//Get category slugs associated with post
$cats =get_the_category($post_id);
if(empty($cats)){
//No category assigned - do something here.
}
return;
}
add_action('save_post','wpse46583_save',10,2);