WARNING: Long(ish) Answer
This is copied directly from an article I wrote in an internal company wiki:
Question: How to properly use closures in loops?
Quick answer: Use a function factory.
  for (var i=0; i<10; i++) {
    document.getElementById(i).onclick = (function(x){
      return function(){
        alert(x);
      }
    })(i);
  }
or the more easily readable version:
  function generateMyHandler (x) {
    return function(){
      alert(x);
    }
  }
  for (var i=0; i<10; i++) {
    document.getElementById(i).onclick = generateMyHandler(i);
  }
This often confuse people who are new to javascript or functional programming. It is a result of misunderstanding what closures are.
A closure does not merely pass the value of a variable or even a reference to the variable. A closure captures the variable itself! The following bit of code illustrates this:
  var message = 'Hello!';
  document.getElementById('foo').onclick = function(){alert(message)};
  message = 'Goodbye!';
Clicking the element 'foo' will generate an alert box with the message: "Goodbye!". Because of this, using a simple closure in a loop will end up with all closures sharing the same variable and that variable will contain the last value assigned to it in the loop. For example:
  for (var i=0; i<10; i++) {
    document.getElementById('something'+i).onclick = function(){alert(i)};
  }
All elements when clicked will generate an alert box with the number 10. In fact, if we now do i="hello"; all elements will now generate a "hello" alert! The variable i is shared across ten functions PLUS the current function/scope/context. Think of it as a sort of private global variable that only the functions involved can see.
What we want is an instance of that variable or at least a simple reference to the variable instead of the variable itself. Fortunately javascript already has a mechanism for passing a reference (for objects) or value (for strings and numbers): function arguments!
When a function is called in javascript the arguments to that function is passed by reference if it is an object or by value if it is a string or number. This is enough to break variable sharing in closures.
So:
  for (var i=0; i<10; i++) {
    document.getElementById(i).onclick =
      (function(x){ /* we use this function expression simply as a factory
                       to return the function we really want to use: */
        /* we want to return a function reference
           so we write a function expression*/
        return function(){
          alert(x); /* x here refers to the argument of the factory function
                       captured by the 'inner' closure */
        }
      /* The brace operators (..) evaluates an expression, in this case this
         function expression which yields a function reference. */
      })(i) /* The function reference generated is then immediately called()
               where the variable i is passed */
  }