You don't get a save for being teleported. Many DMs do impose restrictions on teleport, however, such as
1) May only teleport onto a valid square to stand on - so not straight up into the air or over a pit or through a pinhole into a room filled with lava, etc.
2) Follow the normal rules for forced movement, so no vertical movement at all
There are pluses and minuses to most rulings of that nature, but I suspect the valid square one is probably a good idea. A DM might inadvertently leave in a way to teleport someone to their death (a flying castle with barred windows, cracks in the walls, or arrow slits, for example, is no danger to forced movement but instant death for offensive teleport) and this covers that eventuality.