I removed a mp3 player once without doing that...thing wouldn't even turn on after that. I'm not sure exactly what happens, I just know that from now I make sure that everything is safe before I unplug anything from a usb port.
The first time I took my USB flash drive out while it was idle, I lost a few files that I had copied over. After that I always used the Eject Hardware icon in the sys tray. It was with the Sandisk Cruzer 256MB.
I think it works just fine with WinXP. I remember doing that with Win2000 computer, it gave me that warning. But I didnt lose any file, though. I would "safely remove" the usb drive with Win98, Me, and 2000. But with WinXP, it works prefectly. I dont have to worry about that.
I have a lexar secure jump drive and it got buggered up a couple of times when I removed it without going through all the motions. It could be because it is a secure drive. I don't know for sure, but I looked on lexar's site and it emphatically stated that you have to unplug the drive, there were also others who had the same problem I did, of lost items b/c they failed to eject it properly.
I think i recall that there's a setting somewhere that you can pick if you want higher transfer speed (your computer) and you'll have to stop every peripherial devices as a tradeoff, and other option is to have a bit lower performance, but you dont have to safely remove hardwares. I forgot where we will find those options.